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Se parametriza de forma conjunta la heteroscedasticidad condicional autorregresiva generalizada que corresponde al comportamiento de la varianza de tres variables: (a) el índice de precios y cotizaciones (IPC), indicador principal del mercado bursátil mexicano, (b) el emerging markets bond...
Persistent link: https://www.econbiz.de/10010780734
volatility, correlation, beta, quadratic variation, jump variation, and other functionals of an underlying continuous …
Persistent link: https://www.econbiz.de/10010834073
, focusing on the relationship between returns and conditional volatility. The conditional mean follows a GARCH-M model, while … PGARCH) were tested. We examine how accurately these GARCH models forecast volatility under various error distributions … the following: (i) the Macedonian stock returns time series display stylized facts such as volatility clustering, high …
Persistent link: https://www.econbiz.de/10005621308
In theory, the price of equity is determined by the dividend yields and growth potentials of the firms. There exists … established empirical proof of the impact of macroeconomic changes to the equity markets. With the advent of Islamic equities, and … initial empirical proof for further research on the impact of specific economic variables on the changes in Islamic equity …
Persistent link: https://www.econbiz.de/10011113581
prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … forecasts are produced by a realized range based HAR model with a GARCH volatility-of-volatility component. …
Persistent link: https://www.econbiz.de/10011099986
Markov-switching models, improves estimates and forecasts of stock return volatility over those of the more conventional …
Persistent link: https://www.econbiz.de/10010734905
/noncausal model is more representative of the data according to the Kullback-Leibler measure. Moreover, these estimation results …
Persistent link: https://www.econbiz.de/10011110109
financial assets with fat tails, asymmetry, periodic behaviors in the conditional variances, and volatility clustering. The gold …
Persistent link: https://www.econbiz.de/10011154569
One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC …
Persistent link: https://www.econbiz.de/10011162549
One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC …
Persistent link: https://www.econbiz.de/10011257506