Academic literature on the topic 'Beta-t-EGARCH'
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Journal articles on the topic "Beta-t-EGARCH"
Blazsek, Szabolcs, Helmuth Chavez, and Carlos Mendez. "Model stability and forecast performance of Beta-t-EGARCH." Applied Economics Letters 23, no. 17 (February 29, 2016): 1219–23. http://dx.doi.org/10.1080/13504851.2016.1145343.
Full textBlazsek, Szabolcs, and Marco Villatoro. "Is Beta-t-EGARCH(1,1) superior to GARCH(1,1)?" Applied Economics 47, no. 17 (January 19, 2015): 1764–74. http://dx.doi.org/10.1080/00036846.2014.1000536.
Full textMuller, Fernanda Maria, and Fábio Mariano Bayer. "Avaliações numéricas das inferências no modelo Beta-Skew-t-EGARCH." Brazilian Review of Finance 13, no. 1 (November 5, 2015): 40. http://dx.doi.org/10.12660/rbfin.v13n1.2015.41464.
Full textYao, Yanyun, Xiutian Zheng, and Huimin Wang. "Predictability of China’s Stock Market Returns Based on Combination of Distribution Forecasting Models." Journal of Advanced Computational Intelligence and Intelligent Informatics 24, no. 4 (July 20, 2020): 477–87. http://dx.doi.org/10.20965/jaciii.2020.p0477.
Full textSucarrat, Genaro. "betategarch: Simulation, Estimation and Forecasting of Beta-Skew-t-EGARCH Models." R Journal 5, no. 2 (2013): 137. http://dx.doi.org/10.32614/rj-2013-034.
Full textLiao, Ruofan, Woraphon Yamaka, and Songsak Sriboonchitta. "Exchange Rate Volatility Forecasting by Hybrid Neural Network Markov Switching Beta-t-EGARCH." IEEE Access 8 (2020): 207563–74. http://dx.doi.org/10.1109/access.2020.3038564.
Full textBlazsek, Szabolcs, and Vicente Mendoza. "QARMA-Beta-t-EGARCH versus ARMA-GARCH: an application to S&P 500." Applied Economics 48, no. 12 (September 30, 2015): 1119–29. http://dx.doi.org/10.1080/00036846.2015.1093086.
Full textBlazsek, Szabolcs, Daniela Carrizo, Ricardo Eskildsen, and Humberto Gonzalez. "Forecasting rate of return after extreme values when using AR- t -GARCH and QAR-Beta- t -EGARCH." Finance Research Letters 24 (March 2018): 193–98. http://dx.doi.org/10.1016/j.frl.2017.09.006.
Full textBlazsek, Szabolcs, Alvaro Escribano, and Adrian Licht. "Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility." Studies in Nonlinear Dynamics & Econometrics, March 7, 2022. http://dx.doi.org/10.1515/snde-2021-0083.
Full textBlazsek, Szabolcs, and Han-Chiang Ho. "Markov regime-switching Beta-t-EGARCH." Applied Economics, February 20, 2017, 1–13. http://dx.doi.org/10.1080/00036846.2017.1293794.
Full textDissertations / Theses on the topic "Beta-t-EGARCH"
Muller, Fernanda Maria. "MELHORAMENTOS INFERENCIAIS NO MODELO BETA-SKEW-T-EGARCH." Universidade Federal de Santa Maria, 2016. http://repositorio.ufsm.br/handle/1/8394.
Full textThe Beta-Skew-t-EGARCH model was recently proposed in literature to model the volatility of financial returns. The inferences over the model parameters are based on the maximum likelihood method. The maximum likelihood estimators present good asymptotic properties; however, in finite sample sizes they can be considerably biased. Monte Carlo simulations were used to evaluate the finite sample performance of point estimators. Numerical results indicated that the maximum likelihood estimators of some parameters are biased in sample sizes smaller than 3,000. Thus, bootstrap bias correction procedures were considered to obtain more accurate estimators in small samples. Better quality of forecasts was observed when the model with bias-corrected estimators was considered. In addition, we propose a likelihood ratio test to assist in the selection of the Beta-Skew-t-EGARCH model with one or two volatility components. The numerical evaluation of the two-component test showed distorted null rejection rates in sample sizes smaller than or equal to 1,000. To improve the performance of the proposed test in small samples, the bootstrap-based likelihood ratio test and the bootstrap Bartlett correction were considered. The bootstrap-based test exhibited the closest null rejection rates to the nominal values. The evaluation results of the two-component tests showed their practical usefulness. Finally, an application to the log-returns of the German stock index of the proposed methods was presented.
O modelo Beta-Skew-t-EGARCH foi recentemente proposto para modelar a volatilidade de retornos financeiros. A estimação dos parâmetros do modelo é feita via máxima verossimilhança. Esses estimadores possuem boas propriedades assintóticas, mas em amostras de tamanho finito eles podem ser consideravelmente viesados. Com a finalidade de avaliar as propriedades dos estimadores, em amostras de tamanho finito, realizou-se um estudo de simulações de Monte Carlo. Os resultados numéricos indicam que os estimadores de máxima verossimilhança de alguns parâmetros do modelo são viesados em amostras de tamanho inferior a 3000. Para obter estimadores pontuais mais acurados foram consideradas correções de viés via o método bootstrap. Verificou-se que os estimadores corrigidos apresentaram menor viés relativo percentual. Também foi observada melhor qualidade das previsões quando o modelo com estimadores corrigidos são considerados. Para auxiliar na seleção entre o modelo Beta-Skew-t-EGARCH com um ou dois componentes de volatilidade foi apresentado um teste da razão de verossimilhanças. A avaliação numérica do teste de dois componentes proposto demonstrou taxas de rejeição nula distorcidas em tamanhos amostrais menores ou iguais a 1000. Para melhorar o desempenho do teste foram consideradas a correção bootstrap e a correção de Bartlett bootstrap. Os resultados numéricos indicam a utilidade prática dos testes de dois componentes propostos. O teste bootstrap exibiu taxas de rejeição nula mais próximas dos valores nominais. Ao final do trabalho foi realizada uma aplicação dos testes de dois componentes e do modelo Beta-Skew-t-EGARCH, bem como suas versões corrigidas, a dados do índice de mercado da Alemanha.
Book chapters on the topic "Beta-t-EGARCH"
Yamaka, Woraphon, Paravee Maneejuk, and Songsak Sriboonchitta. "Markov Switching Beta-skewed-t EGARCH." In Lecture Notes in Computer Science, 184–96. Cham: Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-14815-7_16.
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