Journal articles on the topic 'Generalised AutoRegressive Conditional Heteroscedastic (GARCH)'
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Odah, Meshal Harbi. "Comparison of GARCH & ARMA Models to Forecasting Exchange Rate." Mathematical Modelling of Engineering Problems 8, no. 6 (December 22, 2021): 979–83. http://dx.doi.org/10.18280/mmep.080619.
Full textNovianti Dwi PujiAstuti and Suwanda. "Evaluasi Model Exponential Generelized Autoregressive Conditional Heteroscedastic (EGARCH)." Bandung Conference Series: Statistics 2, no. 2 (July 29, 2022): 358–64. http://dx.doi.org/10.29313/bcss.v2i2.4365.
Full textJhohura, Fatema Tuz, and Md Israt Rayhan. "An Assessment of Renewable Energy in Bangladesh through ARIMA, Holts, ARCH-GARCH Models." Dhaka University Journal of Science 60, no. 2 (July 31, 2012): 159–62. http://dx.doi.org/10.3329/dujs.v60i2.11486.
Full textIqbal, Teuku Achmad, Kusman Sadik, and I. Made Sumertajaya. "Pemodelan Pengukuran Luas Panen Padi Nasional Menggunakan Generalized Autoregressive Conditional Heteroscedastic Model (GARCH)." Jurnal Penelitian Pertanian Tanaman Pangan 33, no. 1 (April 30, 2014): 17. http://dx.doi.org/10.21082/jpptp.v33n1.2014.p17-26.
Full textRobinson Sihombing, Pardomuan, Oki Prasetia Hendarsin, Sarah Sholikhatun Risma, and Bekti Endar Susilowati. "The Application Of Autoregressive Integrated Moving Average Generalized Autoregressive Conditional Heteroscedastic (Arima - Garch)." Udayana Journal of Social Sciences and Humanities (UJoSSH) 4, no. 2 (September 29, 2020): 63. http://dx.doi.org/10.24843/ujossh.2020.v04.i02.p04.
Full textLiko, Rozana. "Modeling the Behavior of Inflation Rate in Albania Using Time Series." JOURNAL OF ADVANCES IN MATHEMATICS 13, no. 3 (July 30, 2017): 7257–63. http://dx.doi.org/10.24297/jam.v13i3.6196.
Full textPetrică, Andreea-Cristina, and Stelian Stancu. "The determinants of exchange rates and the movements of EUR/RON exchange rate via non-linear stochastic processes." Proceedings of the International Conference on Business Excellence 11, no. 1 (July 1, 2017): 937–48. http://dx.doi.org/10.1515/picbe-2017-0099.
Full textXuan, Haiyan, Lixin Song, Muhammad Amin, and Yongxia Shi. "Quasi-maximum likelihood estimator of Laplace (1, 1) for GARCH models." Open Mathematics 15, no. 1 (December 29, 2017): 1539–48. http://dx.doi.org/10.1515/math-2017-0131.
Full textLee, Sangyeol, Chang Kyeom Kim, and Sangjo Lee. "Hybrid CUSUM Change Point Test for Time Series with Time-Varying Volatilities Based on Support Vector Regression." Entropy 22, no. 5 (May 20, 2020): 578. http://dx.doi.org/10.3390/e22050578.
Full textKipriyanov, Aleksei. "Comparison of Models for Growth-at-Risk Forecasting." Russian Journal of Money and Finance 81, no. 1 (March 2022): 23–45. http://dx.doi.org/10.31477/rjmf.202201.23.
Full textMagaji, Bashir, and Jamilu Garba. "Forecasting the exchange rate of Nigerian Naira to United State’ Dollar using ARIMA-GARCH Model." Dutse Journal of Pure and Applied Sciences 8, no. 3b (October 14, 2022): 87–96. http://dx.doi.org/10.4314/dujopas.v8i3b.9.
Full textFirmansyah, Firmansyah, Afriani H, and Wahyu Aji Paiso. "Analisis Volatilitas Harga Daging Sapi Sebelum Sampai Dengan Sesudah Hari Besar Agama di Kota Jambi." Jurnal Ilmiah Universitas Batanghari Jambi 21, no. 1 (February 8, 2021): 365. http://dx.doi.org/10.33087/jiubj.v21i1.1332.
Full textAbdul Halim, Nurfadhlina, Endang Soeryana, and Alit Kartiwa. "A GARCH APPROACH TO VaR CALCULATION IN FINANCIAL MARKET." International Journal of Quantitative Research and Modeling 1, no. 1 (February 2, 2020): 35–46. http://dx.doi.org/10.46336/ijqrm.v1i1.5.
Full textPincak, Richard, and Kabin Kanjamapornkul. "GARCH in spinor field." International Journal of Geometric Methods in Modern Physics 16, no. 07 (July 2019): 1950099. http://dx.doi.org/10.1142/s0219887819500993.
Full textBose, Shekar, and Hafizur Rahman. "Are News Effects Necessarily Asymmetric? Evidence from Bangladesh Stock Market." SAGE Open 12, no. 4 (October 2022): 215824402211271. http://dx.doi.org/10.1177/21582440221127157.
Full textNiedzielski, Tomasz, and Wieslaw Kosek. "An Application of Low-Order Arma and Garch Models for Sea Level Fluctuations." Artificial Satellites 45, no. 1 (January 1, 2010): 27–39. http://dx.doi.org/10.2478/v10018-010-0003-x.
Full textYANG, LU, and SHIGEYUKI HAMORI. "MODELING THE DYNAMICS OF INTERNATIONAL AGRICULTURAL COMMODITY PRICES: A COMPARISON OF GARCH AND STOCHASTIC VOLATILITY MODELS." Annals of Financial Economics 13, no. 03 (September 2018): 1850010. http://dx.doi.org/10.1142/s2010495218500100.
Full textZahid, Mamoona, Farhat Iqbal, Abdul Raziq Abdul Raziq, and Naveed Sheikh. "Modeling and Forecasting the Realized Volatility of Bitcoin using Realized HAR-GARCH-type Models with Jumps and Inverse Leverage Effect." Sains Malaysiana 51, no. 3 (March 31, 2022): 929–42. http://dx.doi.org/10.17576/jsm-2022-5103-25.
Full textKurnia, Ranti Pramushinta, and Abdullah Ahmad Dzikrullah. "VOLATILITAS HARGA BAWANG DI JAWA BARAT DENGAN METODE ARCH/GARCH." Jurnal Lebesgue : Jurnal Ilmiah Pendidikan Matematika, Matematika dan Statistika 3, no. 3 (December 31, 2022): 468–77. http://dx.doi.org/10.46306/lb.v3i3.153.
Full textOredegbe, Abayomi, and Oye Abioye. "Stock Market Volatility and Persistence: Evidence from High-Income and Middle-Income Economies." International Journal of Economics and Finance 14, no. 8 (July 25, 2022): 56. http://dx.doi.org/10.5539/ijef.v14n8p56.
Full textDungore, Parizad Phiroze, and Sarosh Hosi Patel. "Analysis of Volatility Volume and Open Interest for Nifty Index Futures Using GARCH Analysis and VAR Model." International Journal of Financial Studies 9, no. 1 (January 14, 2021): 7. http://dx.doi.org/10.3390/ijfs9010007.
Full textOjirobe, Yunusa Adavi, Abdulsalam Hussein Ahmad, and Ikwuoche John David. "Modelling and Forecasting Volatility of Crude Oil Returns in Nigeria based on Six Error Innovations." Journal of Statistical Modelling and Analytics 3, no. 1 (July 1, 2021): 78–93. http://dx.doi.org/10.22452/josma.vol3no1.6.
Full textChávez, Diego, Javier E. Contreras-Reyes, and Byron J. Idrovo-Aguirre. "A Threshold GARCH Model for Chilean Economic Uncertainty." Journal of Risk and Financial Management 16, no. 1 (December 28, 2022): 20. http://dx.doi.org/10.3390/jrfm16010020.
Full textAlexis, Esdra, Thomas Plocoste, and Silvere Paul Nuiro. "Analysis of Particulate Matter (PM10) Behavior in the Caribbean Area Using a Coupled SARIMA-GARCH Model." Atmosphere 13, no. 6 (May 25, 2022): 862. http://dx.doi.org/10.3390/atmos13060862.
Full textElek, P., and L. Márkus. "A long range dependent model with nonlinear innovations for simulating daily river flows." Natural Hazards and Earth System Sciences 4, no. 2 (April 16, 2004): 277–83. http://dx.doi.org/10.5194/nhess-4-277-2004.
Full textNapitupulu, Herlina, Rizki Apriva Hidayana, and Jumadil Saputra. "Determination of VaR on BBRI Stocks and BMRI Stocks Using the ARIMA-GARCH Model." Operations Research: International Conference Series 2, no. 3 (September 5, 2021): 71–74. http://dx.doi.org/10.47194/orics.v2i3.178.
Full textOlaniyan, Sunday, and Hamadu Dallah. "MODELING THE VOLATILITY FOR LONG TERM INTEREST RATE RETURNS IN THE NIGERIA BOND MARKET USING CONDITIONALY HETEROSCEDASTIC MODELS." Jurnal Wahana Akuntansi 15, no. 1 (August 5, 2020): 46–56. http://dx.doi.org/10.21009/wahana.15.014.
Full textLAMA, ACHAL, K. N. SINGH, RAVINDRA SINGH SHEKHAWAT, KRISHNA PADA SARKAR, and BISHAL GURUNG. "Forecasting price index of finger millet (Eleusine coracana) in India under policy interventions." Indian Journal of Agricultural Sciences 90, no. 5 (September 4, 2020): 885–89. http://dx.doi.org/10.56093/ijas.v90i5.104334.
Full textBonga-Bonga, Lumengo, and Tebogo Maake. "The Relationship between Carry Trade and Asset Markets in South Africa." Journal of Risk and Financial Management 14, no. 7 (July 1, 2021): 300. http://dx.doi.org/10.3390/jrfm14070300.
Full textNdwiga, David, and Peter W. Muriu. "Stock Returns And Volatility İn An Emerging Equity Market. Evidence From Kenya." European Scientific Journal, ESJ 12, no. 4 (February 28, 2016): 79. http://dx.doi.org/10.19044/esj.2016.v12n4p79.
Full textHidayana, Rizki Apriva, Herlina Napitupulu, and Jumadil Saputra. "Determination of Risk Value Using the ARMA-GJR-GARCH Model on BCA Stocks and BNI Stocks." Operations Research: International Conference Series 2, no. 3 (September 4, 2021): 62–66. http://dx.doi.org/10.47194/orics.v2i3.176.
Full textHidayana, Rizki Apriva, Subiyanto Subiyanto, and Sudradjat Supian. "The Study of Value-At-Risk Calculation and Back-testing Using the ARMA-GARCH Model Based on Stock Returns: An Overview." International Journal of Research in Community Services 3, no. 4 (November 4, 2022): 142–46. http://dx.doi.org/10.46336/ijrcs.v3i4.368.
Full textChandra Pati, Pratap, and Prabina Rajib. "Volatility persistence and trading volume in an emerging futures market." Journal of Risk Finance 11, no. 3 (May 25, 2010): 296–309. http://dx.doi.org/10.1108/15265941011043666.
Full textPaul, Ranjit Kumar, and Md Yeasin. "COVID-19 and prices of pulses in Major markets of India: Impact of nationwide lockdown." PLOS ONE 17, no. 8 (August 25, 2022): e0272999. http://dx.doi.org/10.1371/journal.pone.0272999.
Full textSoeryana Hasbullah, Endang, Nurfadhlina Bt Abdul Halim, Sukono ., Adam Sukma Putra, and Abdul Talib Bon. "Mean-Variance Portfolio Optimization on Islamic Stocks by Using Non Constant Mean and Volatility Models and Genetic Algorithm." International Journal of Engineering & Technology 7, no. 3.20 (September 1, 2018): 366. http://dx.doi.org/10.14419/ijet.v7i3.20.19274.
Full textMohammed, Geleta T., Jane A. Aduda, and Ananda O. Kube. "Model Calibration and Validation for the Fuzzy-EGARCH-ANN Model." Applied Computational Intelligence and Soft Computing 2021 (December 24, 2021): 1–9. http://dx.doi.org/10.1155/2021/6637091.
Full textBanik, Shipra, Mohammed Anwer, and A. F. M. Khodadad Khan. "Modeling Chaotic Behavior of Chittagong Stock Indices." Applied Computational Intelligence and Soft Computing 2012 (2012): 1–7. http://dx.doi.org/10.1155/2012/410832.
Full textChalissery, Neenu, Mosab I. Tabash, Mohamed Nishad T., and Maha Rahrouh. "Modeling asymmetric volatility of financial assets using univariate GARCH models: An Indian perspective." Investment Management and Financial Innovations 19, no. 4 (December 6, 2022): 244–59. http://dx.doi.org/10.21511/imfi.19(4).2022.20.
Full textInglada-Pérez, Lucía, and Pablo Coto-Millán. "A Chaos Analysis of the Dry Bulk Shipping Market." Mathematics 9, no. 17 (August 26, 2021): 2065. http://dx.doi.org/10.3390/math9172065.
Full textGhysels, Eric, Alberto Plazzi, Rossen Valkanov, Antonio Rubia, and Asad Dossani. "Direct Versus Iterated Multiperiod Volatility Forecasts." Annual Review of Financial Economics 11, no. 1 (December 26, 2019): 173–95. http://dx.doi.org/10.1146/annurev-financial-110217-022808.
Full textGuo, Jin, and Tetsuji Tanaka. "Dynamic Transmissions and Volatility Spillovers between Global Price and U.S. Producer Price in Agricultural Markets." Journal of Risk and Financial Management 13, no. 4 (April 23, 2020): 83. http://dx.doi.org/10.3390/jrfm13040083.
Full textGu, Wentao, Linghong Zhang, Houjiao Xi, and Suhao Zheng. "Stock Prediction Based on News Text Analysis." Journal of Advanced Computational Intelligence and Intelligent Informatics 25, no. 5 (September 20, 2021): 581–91. http://dx.doi.org/10.20965/jaciii.2021.p0581.
Full textOu, Jishun, Xiangmei Huang, Yang Zhou, Zhigang Zhou, and Qinghui Nie. "Traffic Volatility Forecasting Using an Omnibus Family GARCH Modeling Framework." Entropy 24, no. 10 (September 29, 2022): 1392. http://dx.doi.org/10.3390/e24101392.
Full textFaal, Maryam, and Farshad Almasganj. "ECG Signal Modeling Using Volatility Properties: Its Application in Sleep Apnea Syndrome." Journal of Healthcare Engineering 2021 (July 7, 2021): 1–12. http://dx.doi.org/10.1155/2021/4894501.
Full textQudratullah, Mohammad Farhan. "Analisis Tipologi Saham Syariah Di Bursa Efek Indonesia Berdasarkan Nilai Return Dan Resiko (Value At Risk) Pasca Krisis Global 2008." Jurnal Fourier 1, no. 1 (April 30, 2012): 17. http://dx.doi.org/10.14421/fourier.2012.11.17-26.
Full textHandika, Rangga, and Iswahyudi Sondi Putra. "Commodities returns’ volatility in financialization era." Studies in Economics and Finance 34, no. 3 (August 7, 2017): 344–62. http://dx.doi.org/10.1108/sef-10-2015-0254.
Full textYang Liu, Day, Ming Chen Chun, and Yi Kai Su. "The impacts of Covid-19 pandemic on the smooth transition dynamics of stock market index volatilities for the Four Asian Tigers and Japan." International Journal of Research in Business and Social Science (2147- 4478) 10, no. 4 (June 14, 2021): 183–94. http://dx.doi.org/10.20525/ijrbs.v10i4.1177.
Full textDogo, Mela Yila, and Osman Nuri Aras. "The impact of COVID-19 on stock market returns: Empirical evidence from Nigeria." Eurasian Journal of Higher Education 3, no. 6 (March 24, 2022): 38–57. http://dx.doi.org/10.31039/ejohe.2022.6.70.
Full textSreeram, Latha. "Volatility Estimation Using Symmetric and Asymmetric Models in Oil Exporting Emerging Markets." Asian Journal of Finance & Accounting 11, no. 1 (February 24, 2019): 41. http://dx.doi.org/10.5296/ajfa.v11i1.14202.
Full textAzeem, Muhammad, Nisar Ahmad, Sarfraz Hussain, Muzammil Khurshid, and Safyan Majid. "IMPACT OF IMF LENDING ANNOUNCEMENTS ON THE PERFORMANCE OF STOCK MARKET: EMPIRICAL EVIDENCE FROM PAKISTAN." Humanities & Social Sciences Reviews 9, no. 3 (May 20, 2021): 467–76. http://dx.doi.org/10.18510/hssr.2021.9348.
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