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parameters are fit and studied. The performance of our model, in relation to various multivariate GARCH models, is also evaluated …
Persistent link: https://www.econbiz.de/10009441545
This paper is concerned with the fitting and comparison of high dimensional multivariate time series models with time varying correlations. The models considered here combine features of the classical factor model with those of the univariate stochastic volatility model. Specifically, a set of...
Persistent link: https://www.econbiz.de/10010605134
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volatility in the price of cassava chips were calculated using Bayesian GARCH-X. The results indicate that the increase in X1, X2 …
Persistent link: https://www.econbiz.de/10012631424
conditional heteroskedasticity (GARCH) model is used to identify the magnitude and significance of mean and volatility spillovers … of strong ARCH and GARCH effects. Contrary to evidence from studies in North American electricity markets, the results …
Persistent link: https://www.econbiz.de/10009437450
nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …
Persistent link: https://www.econbiz.de/10015192170
the GARCH model, which explains the current financial and political distress for the case of shocks from COVID-19. We …
Persistent link: https://www.econbiz.de/10014332387
-19 pandemic. We applied the GARCH (1, 1), GJR-GARCH (1, 1), and EGARCH (1, 1) econometric models on the daily time series … and for the whole period, each GARCH family evenly models the volatile behavior of the six financial markets. This study …
Persistent link: https://www.econbiz.de/10014332825