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by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over …
Persistent link: https://www.econbiz.de/10011731521
Much of the trading activity in Equity markets is directed to brokerage houses. In exchange they provide so-called quot;soft dollarsquot; which basically are amounts spent in quot;researchquot; for identifying profitable trading opportunities. Soft dollars represent about USD 1 out of every USD...
Persistent link: https://www.econbiz.de/10003966616
Energy price volatilities and correlations have been modeled extensively using short-memory multivariate GARCH models. This paper investigates the potential benefits from using multivariate fractionally integrated GARCH models from a forecasting and a risk management perspective. Several...
Persistent link: https://www.econbiz.de/10012840754
This paper shows that combinations of option implied and time series volatility forecasts that are conditional on … that this method works well in practice by applying it to volatility forecasts for the Mexican Peso-US Dollar exchange rate …, where the actual value is taken to be the realized volatility measured using intra-day observations …
Persistent link: https://www.econbiz.de/10012720373
In this work, we propose an ARMA(1,1)-GARCH(1,1) model with standard classical tempered stable (CTS) innovations for historical daily returns of 29 selected stocks. The non-Gaussian nature of the innovations captures the fat-tail property observed in data. The dependency between different assets...
Persistent link: https://www.econbiz.de/10013109131
characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …
Persistent link: https://www.econbiz.de/10012966258
-GARCH models to capture time varying volatility and nonlinearity in petrol prices. ANN augmented versions of LSTAR-LST-GARCH models … models, except for the MLP-FIGARCH and MLP-FIAPGARCH models. iv. Volatility clustering, asymmetry and nonlinearity …
Persistent link: https://www.econbiz.de/10013103072
varılmaktadır. The study aims to augment commonly applied volatility models with support vector machines and neural networks. The … returns in Istanbul ISE100 stock index. Results suggest that volatility clustering, asymmetry and nonlinearity characteristics …
Persistent link: https://www.econbiz.de/10013086361
characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …
Persistent link: https://www.econbiz.de/10003636008
In this paper we study new nonlinear GARCH models mainly designed for time series with highly persistent volatility …. For such series, conventional GARCH models have often proved unsatisfactory because they tend to exaggerate volatility … persistence and exhibit poor forecasting ability. Our main emphasis is on models that are similar to previously introduced smooth …
Persistent link: https://www.econbiz.de/10014120167