Journal articles on the topic 'Generalized Auto-Regressive Conditional Heteroscedasticity (GARCH)'
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Hanifa, Rezky Dwi, Mustafid Mustafid, and Arief Rachman Hakim. "PEMODELAN AUTOREGRESSIVE FRACTIONALLY INTEGRATED MOVING AVERAGE DENGAN EFEK EXPONENTIAL GARCH (ARFIMA-EGARCH) UNTUK PREDIKSI HARGA BERAS DI KOTA SEMARANG." Jurnal Gaussian 10, no. 2 (2021): 279–92. http://dx.doi.org/10.14710/j.gauss.v10i2.29933.
Full textAkhtar, Sohail, Maham Ramzan, Sajid Shah, et al. "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.
Full textRossetti, Nara, Marcelo Seido Nagano, and Jorge Luis Faria Meirelles. "A behavioral analysis of the volatility of interbank interest rates in developed and emerging countries." Journal of Economics, Finance and Administrative Science 22, no. 42 (2017): 99–128. http://dx.doi.org/10.1108/jefas-02-2017-0033.
Full textKomal Batool, Mirza Faizan Ahmed, and Muhammad Ali Ismail. "A Hybrid Model of Machine Learning Model and Econometrics’ Model to Predict Volatility of KSE-100 Index." Reviews of Management Sciences 4, no. 1 (2022): 225–39. http://dx.doi.org/10.53909/rms.04.01.0125.
Full textJiang, Haoqing. "The Application of the ARIMA-GARCH Hybrid Model for Forecasting the Apple Stock Price." Journal of Intelligence and Knowledge Engineering 1, no. 1 (2023): 12–15. http://dx.doi.org/10.62517/jike.202304102.
Full textZainal, Putri, Yenni Angraini, and Akbar Rizki. "Penerapan Metode Generalized Auto-Regressive Conditional Heteroscedasticity untuk Peramalan Harga Minyak Mentah Dunia." Xplore: Journal of Statistics 12, no. 1 (2023): 12–21. http://dx.doi.org/10.29244/xplore.v12i1.1096.
Full textAtahau, Apriani, Robiyanto Robiyanto, and Andrian Huruta. "Predicting Co-Movement of Banking Stocks Using Orthogonal GARCH." Risks 10, no. 8 (2022): 158. http://dx.doi.org/10.3390/risks10080158.
Full textCheng, Cong, Ling Yu, and Liu Jie Chen. "Structural Nonlinear Damage Detection Based on ARMA-GARCH Model." Applied Mechanics and Materials 204-208 (October 2012): 2891–96. http://dx.doi.org/10.4028/www.scientific.net/amm.204-208.2891.
Full textTolulope, Jerumeh. "Nature, Trends and Drivers of Food Price Volatility in Nigeria." European Journal of Agriculture and Food Sciences 4, no. 6 (2022): 109–17. http://dx.doi.org/10.24018/ejfood.2022.4.6.619.
Full textARIF HUSSAIN, AHMAD BILAL HUSSAIN, and SHAHID ALI. "The Impact of Interest Rate Volatility on Stock Returns Volatility: Empirical Evidence from Pakistan Stock Exchange." Journal of Business & Tourism 3, no. 2 (2021): 53–58. http://dx.doi.org/10.34260/jbt.v3i2.71.
Full textSukono, Sukono, Emah Suryamah, and Fujika Novinta S. "Application of ARIMA-GARCH Model for Prediction of Indonesian Crude Oil Prices." Operations Research: International Conference Series 1, no. 1 (2020): 25–33. http://dx.doi.org/10.47194/orics.v1i1.21.
Full textSun, Kaiying. "Equity Return Modeling and Prediction Using Hybrid ARIMA-GARCH Model." International Journal of Financial Research 8, no. 3 (2017): 154. http://dx.doi.org/10.5430/ijfr.v8n3p154.
Full textWinanti, Gandhes Linggar, Dwi Ispriyanti, and Sugito Sugito. "PEMODELAN INDEKS HARGA PERDAGANGAN BESAR (IHPB) SEKTOR EKSPOR MENGGUNAKAN ARFIMA-GARCH." Jurnal Gaussian 12, no. 1 (2023): 52–60. http://dx.doi.org/10.14710/j.gauss.12.1.52-60.
Full textMirza, Hammad Hassan, and Naveed Mushtaq . "Stock Market Returns and Weather Anomaly: Evidence from an Emerging Economy." Journal of Economics and Behavioral Studies 4, no. 5 (2012): 239–44. http://dx.doi.org/10.22610/jebs.v4i5.323.
Full textKaya Soylu, Pınar, Mustafa Okur, Özgür Çatıkkaş, and Z. Ayca Altintig. "Long Memory in the Volatility of Selected Cryptocurrencies: Bitcoin, Ethereum and Ripple." Journal of Risk and Financial Management 13, no. 6 (2020): 107. http://dx.doi.org/10.3390/jrfm13060107.
Full textAbdullah, Ezatul Akma, Siti Meriam Zahari, S. Sarifah Radiah Shariff, and Muhammad Asmu’i Abdul Rahim. "Modelling volatility of Kuala Lumpur composite index (KLCI) using SV and garch models." Indonesian Journal of Electrical Engineering and Computer Science 13, no. 3 (2019): 1087. http://dx.doi.org/10.11591/ijeecs.v13.i3.pp1087-1094.
Full textEzatul, Akma Abdullah, Meriam Zahari Siti, Sarifah Radiah Shariff S., and Asmu'i Abdul Rahim Muhammad. "Modelling volatility of Kuala Lumpur composite index (KLCI) using SV and garch models." Indonesian Journal of Electrical Engineering and Computer Science 13, no. 3 (2019): 1087–94. https://doi.org/10.11591/ijeecs.v13.i3.pp1087-1094.
Full textAnand, C. "Comparison of Stock Price Prediction Models using Pre-trained Neural Networks." March 2021 3, no. 2 (2021): 122–34. http://dx.doi.org/10.36548/jucct.2021.2.005.
Full textBiałek-Jaworska, Anna, and Tomasz Krawczyk. "Corporate bonds or bank loans? The choice of funding sources and information disclosure of Polish listed companies." Central European Economic Journal 6, no. 53 (2020): 262–85. http://dx.doi.org/10.2478/ceej-2019-0017.
Full textChigozirim, Onwusiribe Ndubuisi, Nto Philips Okore, Oteh Ogbonnaya Ukeh, and Agwu Nnanna Mba. "Dynamics of Food Price Volatility and Households’ Welfare in Nigeria." Agris on-line Papers in Economics and Informatics 13, no. 4 (2021): 49–60. http://dx.doi.org/10.7160/aol.2021.130405.
Full textOthman, Anwar Hasan Abdullah, Syed Musa Alhabshi, and Razali Haron. "The effect of symmetric and asymmetric information on volatility structure of crypto-currency markets." Journal of Financial Economic Policy 11, no. 3 (2019): 432–50. http://dx.doi.org/10.1108/jfep-10-2018-0147.
Full textMusa, N. "Analysis of Crude Oil Market Volatility and Macroeconomic Conditions: Empirical Evidence from Nigeria." Review of Business and Economics Studies 11, no. 4 (2024): 61–71. http://dx.doi.org/10.26794/2308-944x-2023-11-4-61-71.
Full textPradaswara, Hazelino Rafi, Dwi Susanti, and Sukono Sukono. "Company Stock Performance Analysis on IDX ESG Leaders Index Using the ARIMA-GARCH Model." International Journal of Quantitative Research and Modeling 3, no. 3 (2022): 133–37. http://dx.doi.org/10.46336/ijqrm.v3i3.347.
Full textBulama, YaAshe M., Yakubu Bila, and Catherine O. Ojo. "TEST OF PRICE VOLATILITY: A CASE OF THE NIGERIAN CATTLE MARKET." American Journal of Economics 6, no. 1 (2022): 1–12. http://dx.doi.org/10.47672/aje.890.
Full textBulama, YaAshe M., Yakubu Bila, and Catherine O. Ojo. "TEST OF PRICE VOLATILITY: A CASE OF THE NIGERIAN CATTLE MARKET." American Journal of Economics 6, no. 1 (2022): 1–12. http://dx.doi.org/10.47672/aje.890.
Full textNdlovu, Thabani, and Delson Chikobvu. "The GARCH-EVT-Copula Approach to Investigating Dependence and Quantifying Risk in a Portfolio of Bitcoin and the South African Rand." Journal of Risk and Financial Management 17, no. 11 (2024): 504. http://dx.doi.org/10.3390/jrfm17110504.
Full textAtahau, Apriani Dorkas Rambu, Robiyanto Robiyanto, and Andrian Dolfriandra Huruta. "Co-Movement of Indonesian State-Owned Enterprise Stocks." Economies 11, no. 2 (2023): 46. http://dx.doi.org/10.3390/economies11020046.
Full textNdlovu, Thabani, and Delson Chikobvu. "A Wavelet-Decomposed WD-ARMA-GARCH-EVT Model Approach to Comparing the Riskiness of the BitCoin and South African Rand Exchange Rates." Data 8, no. 7 (2023): 122. http://dx.doi.org/10.3390/data8070122.
Full textRen, Zhiyuan. "What might happen to the global stock market after Brexit?" Studies in Economics and Finance 39, no. 2 (2022): 177–92. http://dx.doi.org/10.1108/sef-09-2020-0392.
Full textIndarwati, Septiana. "Benarkah Suku Bunga Memengaruhi Volatilitas Pasar Saham Syariah?" Journal of Islamic Economics and Finance Studies 2, no. 1 (2021): 56. http://dx.doi.org/10.47700/jiefes.v2i1.2780.
Full textRoni, Bhowmik, Ghulam Abbas, and Shouyang Wang. "Return and Volatility Spillovers Effects: Study of Asian Emerging Stock Markets." Journal of Systems Science and Information 6, no. 2 (2018): 97–119. http://dx.doi.org/10.21078/jssi-2018-097-23.
Full textMustafa, Saima, Arfa Amjad Bajwa, and Shafqat Iqbal. "A New Fuzzy Grach Model to forecast Stock Market Technical Analysis." Operational Research in Engineering Sciences: Theory and Applications 5, no. 1 (2022): 185–204. http://dx.doi.org/10.31181/oresta040422196m.
Full textHaider, Syed Kamran Ali, Shujahat Haider Hashmi, and Ishtiaq Ahmed. "Systematic risk factors and stock return volatility." Applied Studies in Agribusiness and Commerce 11, no. 1-2 (2017): 61–70. http://dx.doi.org/10.19041/apstract/2017/1-2/8.
Full textBakari, Yuliana. "PRICE VOLATILITY ANALYZE IN EARLY PANDEMIC COVID 19 OUTBREAKS: CASE STUDY IN GORONTALO PROVINCE SHALLOT MARKET." Agricultural Socio-Economics Journal 23, no. 1 (2023): 69–76. http://dx.doi.org/10.21776/ub.agrise.2023.023.1.9.
Full textHalim, Siana, Shirley Adelia, and Jani Rahardjo. "MODEL MATEMATIK UNTUK MENENTUKAN NILAI TUKAR MATA UANG RUPIAH TERHADAP DOLLAR AMERIKA." Jurnal Teknik Industri 1, no. 1 (2004): 30–40. http://dx.doi.org/10.9744/jti.1.1.30-40.
Full textPrawirosaputro, Bima, and Yudith Dyah Hapsari. "THE EFFECTS OF RUPIAH CURRENCY, WORLD OIL PRICES, AND WORLD GOLD PRICE ON COMPOSITED STOCK PRICE INDEX (IHSG) IN 2016." Jurnal Manajemen 14, no. 2 (2017): 144–51. http://dx.doi.org/10.25170/jm.v14i2.784.
Full textWijoyo, Nugroho Agung. "Peramalan Nilai Tukar Rupiah Terhadap USD dengan Menggunakan Model GARCH." Kajian Ekonomi dan Keuangan 20, no. 2 (2016): 169–89. http://dx.doi.org/10.31685/kek.v20i2.187.
Full textQueiroz, Rhenan G. S., and Sergio A. David. "Performance of the Realized-GARCH Model against Other GARCH Types in Predicting Cryptocurrency Volatility." Risks 11, no. 12 (2023): 211. http://dx.doi.org/10.3390/risks11120211.
Full textRahardjo, Soemarso Slamet. "The Role of Speculative Factor in the Indonesian Stock Price Determination." Economics and Finance in Indonesia 61, no. 1 (2015): 69. http://dx.doi.org/10.7454/efi.v61i1.498.
Full textLuo, Jinyang. "Utilizing the GARCH Model for Analysis and Prediction of Stock Market Trends." Advances in Economics, Management and Political Sciences 96, no. 1 (2024): 1–11. http://dx.doi.org/10.54254/2754-1169/96/2024mur0102.
Full textShahateet, Mohammed, Najib Shrydeh, and Suleiman Mohammad. "Testing the linkages of Arab stock markets: a multivariate GARCH approach." Investment Management and Financial Innovations 16, no. 4 (2019): 192–204. http://dx.doi.org/10.21511/imfi.16(4).2019.17.
Full textNaik, Nagaraj, and Biju R. Mohan. "Stock Price Volatility Estimation Using Regime Switching Technique-Empirical Study on the Indian Stock Market." Mathematics 9, no. 14 (2021): 1595. http://dx.doi.org/10.3390/math9141595.
Full textNagesh, C., Koushik Reddy Chaganti, Sathvik Chaganti, S. K. Khaleelullah, P. Naresh, and M. I. Thariq Hussan. "Leveraging Machine Learning based Ensemble Time Series Prediction Model for Rainfall Using SVM, KNN and Advanced ARIMA+ E-GARCH." International Journal on Recent and Innovation Trends in Computing and Communication 11, no. 7s (2023): 353–58. http://dx.doi.org/10.17762/ijritcc.v11i7s.7010.
Full textRostan, Pierre, Alexandra Rostan, and Mohammad Nurunnabi. "Options trading strategy based on ARIMA forecasting." PSU Research Review 4, no. 2 (2020): 111–27. http://dx.doi.org/10.1108/prr-07-2019-0023.
Full textBatu, Barın,. "Investigating Performance of ESN’s in Forecasting Financial Metrics When Compared To Traditional RNN Types." International Journal of Social Science and Economic Research 09, no. 06 (2024): 1950–82. http://dx.doi.org/10.46609/ijsser.2024.v09i06.023.
Full textPanda, Ajaya Kumar, and Swagatika Nanda. "Time-varying synchronization and dynamic conditional correlation among the stock market returns of leading South American economies." International Journal of Managerial Finance 14, no. 2 (2018): 245–62. http://dx.doi.org/10.1108/ijmf-11-2016-0206.
Full textCHANG, B., and H. TSAI. "Forecast approach using neural network adaptation to support vector regression grey model and generalized auto-regressive conditional heteroscedasticity." Expert Systems with Applications 34, no. 2 (2008): 925–34. http://dx.doi.org/10.1016/j.eswa.2006.10.034.
Full textKANDUKURI, KUMARASWAMY, and BHATRACHARYULU N. CH. "New method of precipitation forecast model and validation." MAUSAM 74, no. 4 (2023): 1065–72. http://dx.doi.org/10.54302/mausam.v74i4.4359.
Full textMa, Lin, and Jean-Paul Delahaye. "An Algorithmic Look at Financial Volatility." Algorithms 11, no. 11 (2018): 185. http://dx.doi.org/10.3390/a11110185.
Full textNusantara, Aji Cahya, and Budhi Haryanto. "The Influence of Sex Appeal on Consumers Attitude toward the Ads Moderated by Product Factors." Jurnal Dinamika Manajemen 9, no. 2 (2018): 250–58. http://dx.doi.org/10.15294/jdm.v9i2.15938.
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