Journal articles on the topic 'GARCH analysis'
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Sucarrat, Genaro. "garchx: Flexible and Robust GARCH-X Modeling." R Journal 13, no. 1 (2021): 276. http://dx.doi.org/10.32614/rj-2021-057.
Teulon, Frederic, Khaled Guesmi, and Saoussen Jebri. "Risk Analysis Of Hedge Funds: A Markov Switching Model Analysis." Journal of Applied Business Research (JABR) 30, no. 1 (December 30, 2013): 243. http://dx.doi.org/10.19030/jabr.v30i1.8299.
WU, EDMOND H. C., PHILIP L. H. YU, and W. K. LI. "VALUE AT RISK ESTIMATION USING INDEPENDENT COMPONENT ANALYSIS-GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (ICA-GARCH) MODELS." International Journal of Neural Systems 16, no. 05 (October 2006): 371–82. http://dx.doi.org/10.1142/s0129065706000779.
Ma, Dan, Tianxing Yang, Liping Liu, and Yi He. "Analysis of Factors Influencing Stock Market Volatility Based on GARCH-MIDAS Model." Complexity 2022 (January 17, 2022): 1–10. http://dx.doi.org/10.1155/2022/6176451.
Liesl le Roux, Corlise. "Co-Movement and Volatility Analysis of Sugar: Spot and Future." International Journal of Business Administration and Management Research 4, no. 2 (June 23, 2018): 1. http://dx.doi.org/10.24178/ijbamr.2018.4.2.01.
Li, Yuanbo, Chi Tim Ng, and Chun Yip Yau. "GARCH-type factor model." Journal of Multivariate Analysis 190 (July 2022): 105001. http://dx.doi.org/10.1016/j.jmva.2022.105001.
Yu, Zhi Tao. "Gold Investment Risk Analysis Model Based on Time Series." Advanced Materials Research 926-930 (May 2014): 3834–37. http://dx.doi.org/10.4028/www.scientific.net/amr.926-930.3834.
Fu, Sihan, Kexin He, Jialin Li, and Zheng Tao. "Exploring Apple’s Stock Price Volatility Using Five GARCH Models." Proceedings of Business and Economic Studies 5, no. 5 (October 21, 2022): 137–45. http://dx.doi.org/10.26689/pbes.v5i5.4322.
Mansur, Iqbal, Steven J. Cochran, and David Shaffer. "Foreign Exchange Volatility Shifts and Futures Hedging: An ICSS-GARCH Approach." Review of Pacific Basin Financial Markets and Policies 10, no. 03 (September 2007): 349–88. http://dx.doi.org/10.1142/s0219091507001112.
Choi, S. M., S. Y. Hong, M. S. Choi, J. A. Park, J. S. Baek, and S. Y. Hwang. "Analysis of Multivariate-GARCH via DCC Modelling." Korean Journal of Applied Statistics 22, no. 5 (October 31, 2009): 995–1005. http://dx.doi.org/10.5351/kjas.2009.22.5.995.
Chiang, Thomas C., and Christine X. Jiang. "Empirical Analysis of Interdependency and Volatility among Asian Stock Markets." Review of Pacific Basin Financial Markets and Policies 01, no. 04 (December 1998): 437–59. http://dx.doi.org/10.1142/s0219091598000260.
Jati, Kumara. "Analysis of Sugar Prices Volatility Using ARMA and ARCH/GARCH." International Journal of Trade, Economics and Finance 5, no. 2 (2014): 136–41. http://dx.doi.org/10.7763/ijtef.2014.v5.356.
Rahayu, Meinar Fithria, Wen-I. Chang, and Ratya Anindita. "Volatility Analysis and Volatility Spillover Analysis of Indonesia's Coffee Price Using Arch/Garch, and Egarch Model." Journal of Agricultural Studies 3, no. 2 (April 23, 2015): 37. http://dx.doi.org/10.5296/jas.v3i2.7185.
Ou, Phich Hang, and Heng Shan Wang. "Applications of Neural Networks in Modeling and Forecasting Volatility of Crude Oil Markets: Evidences from US and China." Advanced Materials Research 230-232 (May 2011): 953–57. http://dx.doi.org/10.4028/www.scientific.net/amr.230-232.953.
Yuliana, Ashalia Fitri, and Robiyanto Robiyanto. "Revisit the Dynamic Portfolio Formation Between Gold and Stocks in Indonesia in The Period Before and During the COVID-19 Pandemic." Journal of Accounting and Strategic Finance 5, no. 1 (February 20, 2022): 1–21. http://dx.doi.org/10.33005/jasf.v5i1.161.
Jinling, Liang, and Deng Guangming. "An Empirical Analysis on the Volatility of Return of CSI 300 Index." International Journal of Accounting and Finance Studies 4, no. 2 (October 18, 2021): p1. http://dx.doi.org/10.22158/ijafs.v4n2p1.
Dewia, Intani, Rita Nurmalina, Andriyono Kilat Adhi, and Bernhard Brümmer. "Price Volatility Analysis in Indonesian Beef Market." KnE Life Sciences 2, no. 6 (November 26, 2017): 403. http://dx.doi.org/10.18502/kls.v2i6.1062.
Leung, Pui-Lam, and Wing-Keung Wong. "Three-factor profile analysis with GARCH innovations." Mathematics and Computers in Simulation 77, no. 1 (February 2008): 1–8. http://dx.doi.org/10.1016/j.matcom.2006.12.011.
Klüppelberg, Claudia, Alexander Lindner, and Ross Maller. "A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour." Journal of Applied Probability 41, no. 3 (September 2004): 601–22. http://dx.doi.org/10.1239/jap/1091543413.
Klüppelberg, Claudia, Alexander Lindner, and Ross Maller. "A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour." Journal of Applied Probability 41, no. 03 (September 2004): 601–22. http://dx.doi.org/10.1017/s0021900200020428.
O O, Lawal, Nwakuya M T, and Biu O E. "Trend Analysis and GARCH Model for COVID-19 National Weekly Confirmed Cases in Nigeria for Abuja and Lagos State." Quarterly Journal of Econometrics Research 8, no. 1 (February 24, 2022): 1–10. http://dx.doi.org/10.18488/88.v8i1.2931.
Engle, Robert. "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics." Journal of Economic Perspectives 15, no. 4 (November 1, 2001): 157–68. http://dx.doi.org/10.1257/jep.15.4.157.
Fink, Holger, Andreas Fuest, and Henry Port. "The Impact of Sovereign Yield Curve Differentials on Value-at-Risk Forecasts for Foreign Exchange Rates." Risks 6, no. 3 (August 20, 2018): 84. http://dx.doi.org/10.3390/risks6030084.
Lin, Feng. "Prediction and Analysis of Financial Volatility Based on Implied Volatility and GARCH Model." Modern Economics & Management Forum 3, no. 1 (February 28, 2022): 48. http://dx.doi.org/10.32629/memf.v3i1.650.
Wang, Yuling, Yunshuang Xiang, and Huan Zhang. "Comparison and Forecasting of VaR Models for Measuring Financial Risk: Evidence from China." Discrete Dynamics in Nature and Society 2022 (March 26, 2022): 1–12. http://dx.doi.org/10.1155/2022/5510721.
Nuryatin, Atin. "Comparative Analysis of ARIMA and GARCH Methods to Predict Stock Prices." Almana : Jurnal Manajemen dan Bisnis 4, no. 3 (December 17, 2020): 405–15. http://dx.doi.org/10.36555/almana.v4i3.1483.
Chung, Victor, and Jessie Bravo. "Analysis of Exchange Rate Volatility in Peru in the Presence of Structural Breaks." Journal of Hunan University Natural Sciences 49, no. 4 (April 30, 2022): 281–87. http://dx.doi.org/10.55463/issn.1674-2974.49.4.28.
Pradewita, Wella Cintya, Nur Karomah Dwidayati, and Sugiman Sugiman. "Peramalan Volatilitas Risiko Berinvestasi Saham Menggunakan Metode GARCH–M dan ARIMAX–GARCH." Indonesian Journal of Mathematics and Natural Sciences 44, no. 1 (April 12, 2021): 12–21. http://dx.doi.org/10.15294/ijmns.v44i1.32701.
Akhtar, Sohail, Maham Ramzan, Sajid Shah, Iftikhar Ahmad, Muhammad Imran Khan, Sadique Ahmad, Mohammed A. El-Affendi, and Humera Qureshi. "Forecasting Exchange Rate of Pakistan Using Time Series Analysis." Mathematical Problems in Engineering 2022 (August 24, 2022): 1–11. http://dx.doi.org/10.1155/2022/9108580.
Charfi, Sahar, and Farouk Mselmi. "Modeling exchange rate volatility: application of GARCH models with a Normal Tempered Stable distribution." Quantitative Finance and Economics 6, no. 2 (2022): 206–22. http://dx.doi.org/10.3934/qfe.2022009.
Chlebus, Marcin. "Can Lognormal, Weibull or Gamma Distributions Improve the EWS-GARCH Value-at-Risk Forecasts?" Przegląd Statystyczny 63, no. 3 (September 30, 2016): 329–50. http://dx.doi.org/10.5604/01.3001.0014.1212.
Liu, Ji-Chun. "INTEGRATED MARKOV-SWITCHING GARCH PROCESS." Econometric Theory 25, no. 5 (October 2009): 1277–88. http://dx.doi.org/10.1017/s0266466608090506.
Chlebus, Marcin. "EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk." Central European Economic Journal 3, no. 50 (December 18, 2018): 01–25. http://dx.doi.org/10.1515/ceej-2017-0014.
Takaishi, Tetsuya. "Analysis of Spin Financial Market by GARCH Model." Journal of Physics: Conference Series 454 (August 12, 2013): 012041. http://dx.doi.org/10.1088/1742-6596/454/1/012041.
Seth, Neha, and Monica Singhania. "Volatility in frontier markets: a Multivariate GARCH analysis." Journal of Advances in Management Research 16, no. 3 (July 15, 2019): 294–312. http://dx.doi.org/10.1108/jamr-02-2018-0017.
Kim, Jong-Min, and Sunghae Jun. "Integer-valued GARCH processes for Apple technology analysis." Industrial Management & Data Systems 117, no. 10 (December 4, 2017): 2381–99. http://dx.doi.org/10.1108/imds-01-2017-0023.
Horváth, Lajos, Piotr Kokoszka, and Ričardas Zitikis. "Distributional analysis of empirical volatility in GARCH processes." Journal of Statistical Planning and Inference 138, no. 11 (November 2008): 3578–89. http://dx.doi.org/10.1016/j.jspi.2007.02.014.
Kleibergen, F., and H. K. van Dijk. "Non-stationarity in garch models: A bayesian analysis." Journal of Applied Econometrics 8, S1 (December 1993): S41—S61. http://dx.doi.org/10.1002/jae.3950080505.
Chen, Kuo-Shing, and Shen-Ho Chang. "Volatility Co-Movement between Bitcoin and Stablecoins: BEKK–GARCH and Copula–DCC–GARCH Approaches." Axioms 11, no. 6 (May 29, 2022): 259. http://dx.doi.org/10.3390/axioms11060259.
Vengesai, Edson. "COVID-19 and Stock Market Volatility in South Africa: A Cross-Sector Analysis." Asian Economic and Financial Review 12, no. 7 (June 30, 2022): 473–93. http://dx.doi.org/10.55493/5002.v12i7.4533.
Hasnanda, Sri, and Ratna Ratna. "The Generalized Autoregressive Conditional Heteroscedasticity Model Application on Inflation and Consumers Price Index in Aceh." Journal of Malikussaleh Public Economics 3, no. 1 (November 29, 2020): 8. http://dx.doi.org/10.29103/jmpe.v3i1.3191.
Dinku, Tirngo, Worku Gardachw, and Ngozi Adeleye. "Price Volatility for Selected Agricultural Commodities in Ethiopia: Evidence from GARCH Models." WSEAS TRANSACTIONS ON BUSINESS AND ECONOMICS 18 (November 11, 2021): 1380–88. http://dx.doi.org/10.37394/23207.2021.18.127.
Kim, Geon Cheol, Sung Sik Park, Soo Jin Bang, and Gwang Bin Lee. "Regional correlation analysis of housing price using multivariate GARCH model." Journal of Housing and Urban Finance 5, no. 2 (December 2020): 19–38. http://dx.doi.org/10.38100/jhuf.2020.5.2.19.
Omari-Sasu, Akoto Yaw, Nana Kena Frempong, Maxwell Akwasi Boateng, and Richard Kena Boadi. "Modeling Stock Market Volatility Using GARCH Approach on the Ghana Stock Exchange." International Journal of Business and Management 10, no. 11 (October 26, 2015): 169. http://dx.doi.org/10.5539/ijbm.v10n11p169.
Jiang, Jing Jing, and Bin Ye. "Value-at-Risk Estimation of Carbon Spot Market Based on the Combined GARCH-EVT-VaR Model." Advanced Materials Research 1065-1069 (December 2014): 3250–53. http://dx.doi.org/10.4028/www.scientific.net/amr.1065-1069.3250.
Wu, Maoguo, and Zeyang Li. "Risk Analysis of Shanghai Inter-Bank Offered Rate - A GARCH-VaR Approach." European Scientific Journal, ESJ 13, no. 22 (August 31, 2017): 252. http://dx.doi.org/10.19044/esj.2017.v13n22p252.
Li, Hai-Feng, Dun-Zhong Xing, Qian Huang, and Jiang-Cheng Li. "Roles of GARCH and ARCH effects on the stability in stock market crash." Europhysics Letters 136, no. 4 (November 1, 2021): 48003. http://dx.doi.org/10.1209/0295-5075/ac4527.
Domańska, Sylwia. "DOPASOWANIE MODELI GARCH A JAKOŚĆ UZYSKANYCH PROGNOZ." Metody Ilościowe w Badaniach Ekonomicznych 21, no. 3 (December 23, 2020): 121–33. http://dx.doi.org/10.22630/mibe.2020.21.3.12.
Xie, Danni, Xin Liang, and Ruilin Liang. "Self-Weighted Quasi-Maximum Likelihood Estimators for a Class of MA-GARCH Model." Symmetry 14, no. 8 (August 18, 2022): 1723. http://dx.doi.org/10.3390/sym14081723.
Comte, F., and O. Lieberman. "Asymptotic theory for multivariate GARCH processes." Journal of Multivariate Analysis 84, no. 1 (January 2003): 61–84. http://dx.doi.org/10.1016/s0047-259x(02)00009-x.