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Keber, Christian. "Genetisch ermittelte Approximationen zur Bestimmung der impliziten Volatilit�t." OR Spectrum 21, no. 1-2 (February 1, 1999): 205–38. http://dx.doi.org/10.1007/s002910050087.
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Sholihah, Fathimah, and Nunung Kusnadi. "Dampak Pengembangan Biofuels terhadap Volatilitas Harga Beberapa Komoditas Pangan di Pasar Dunia." Jurnal Agro Ekonomi 37, no. 2 (April 20, 2020): 157. http://dx.doi.org/10.21082/jae.v37n2.2019.157-170.
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<strong>English</strong><br />Agricultural product based biofuels are the connecting points of the linkages between the global agricultural commodity, energy, and financial markets. Since the global energy markets and financial markets are volatile in nature, rapid expansion of biofuels industry results in increasing volatility of agricultural commodity prices, particularly food prices. The aims of this research is to review price volatility of some food commodities (wheat, corn and soybean) in in the world markets and to analyze the impact of global biofuels development on the price volatility. The price volatility is analyzed using the ARIMA and ARCH GARCH methods. The results show that prices of food commodities have been more volatile since the United States of America imposed the Renewable Fuel Standard Mandate-2 policy in 2007. The Corn and soybean price volatilities are higher than rice and wheat. The stronger are their linkages with biofuels development, the higher are their price volatilities. Increasing food price volatility and level should be considered as challenges and opportunities for accelerating food production growth through technological innovation and land expansion toward the achievement food self-sufficiency such that the national food security system is resilient against global market disturbances.<br /><br /><br /><strong>Indonesian</strong><br />Biofuels berbahan baku hasil pertanian menjadi komoditas penghubung antara pasar komoditas pertanian dengan pasar energi, dan selanjutnya dengan pasar finansial dunia. Oleh karena pasar energi dan pasar finansial dunia rentan gejolak maka pengembangan biofuel secara besar-besaran berdampak pada peningkatan volatilitas harga komoditas pertanian, utamanya komoditas pangan pokok. Penelitian bertujuan untuk meninjau volatilitas harga jagung, gandum, beras dan kedelai di pasar dunia serta untuk menganalisis dampak pengembangan biofuels terhadap volatilitas harga tersebut. Analisis volatilitas harga dilakukan dengan metode ARIMA dan ARCH GARCH. Penelitian menunjukkan bahwa harga komoditas pangan lebih volatil setelah Amerika Serikat menerapkan kebijakan Renewable Fuels Standard Mandate-2 tahun 2007. Volatilitas harga jagung dan kedelai lebih tinggi daripada beras dan gandum. Semakin besar keterkaitan komoditas dengan pengembangan biofuels maka semakin besar pula volatilitas harga komoditas tersebut. Peningkatan volatilitas dan level harga tersebut dapat dipandang sebagai tantangan dan peluang untuk memacu peningkatan produksi pangan melalui pengembangan teknologi dan ekstensifikasi lahan pertanian guna meningkatkan kemandirian pangan sehingga sistem ketahanan pangan nasional lebih tahan menghadapi gejolak pasar global.
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Carolina, Ratna Anita, Sri Mulatsih, and Lukytawati Anggraeni. "Analisis Volatilitas Harga dan Integrasi Pasar Kedelai Indonesia dengan Pasar Kedelai Dunia." Jurnal Agro Ekonomi 34, no. 1 (May 1, 2016): 47. http://dx.doi.org/10.21082/jae.v34n1.2016.47-66.
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<strong>English</strong><br />The government is necessary to maintain food price stability in order to support food security in the country. This study aims to analyze domestic (local and imported) soybean prices volatility, and analyze the market integration and the price transmission elasticity that occurs between domestic soybean market and world soybean market. Price volatility analysis using ARCH/GARCH models showed that the world soybean price is more volatile than domestic soybean price, while in domestic market, local soybean price showed more volatility than imported price. Ravallion model was used to analyze market integration and price transmission between world and domestic soybean markets. The result showed that there is no short term market integration, but there exist the long term market integration with a weak price transmission between world and domestic soybean market. <br /><br /><strong>Indonesia</strong><br />Stabilisasi harga pangan pokok, termasuk di dalamnya kedelai, merupakan salah satu hal yang perlu dijaga oleh pemerintah untuk mendukung ketahanan pangan. Penelitian ini bertujuan untuk menganalisis volatilitas harga domestik kedelai, baik lokal maupun impor, serta menganalisis integrasi pasar dan transmisi harga yang terjadi antara pasar kedelai domestik dengan pasar kedelai dunia. Analisis volatilitas harga kedelai dengan menggunakan model ARCH/GARCH menunjukkan bahwa harga kedelai dunia lebih volatil dibandingkan dengan harga kedelai domestik; sementara pada pasar kedelai domestik, harga kedelai lokal lebih volatil dibandingkan dengan harga kedelai impor. Model Ravallion digunakan untuk menganalisis integrasi pasar dan transmisi harga antara pasar kedelai dunia dengan pasar kedelai domestik. Hasil analisis menunjukkan bahwa tidak terjadi integrasi jangka pendek, namun terjadi integrasi jangka panjang dengan proses transmisi harga yang lemah antara pasar kedelai dunia dengan pasar kedelai domestik.
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Kays, Stanley J. "NON-ETHYLENE BIOLOGICALLY ACTIVE POSTHARVEST VOLATILES." HortScience 25, no. 9 (September 1990): 1180f—1180. http://dx.doi.org/10.21273/hortsci.25.9.1180f.
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While we tend to think of postharvest volatiles as nitrogen, oxygen, carbon dioxide and ethylene, harvested products are actually exposed to thousands of volatile compounds. These volatiles are derived from both organic and inorganic sources, evolving from storage room walls, insulation, wrapping materials, combusted products, plants, animals, and a myriad of other sources. Plants alone manufacture a diverse array of secondary metabolizes (estimated to be as many as 400,000) of which many display some degree of volatility. We tend to be cognizant of volatiles when they represent distinct odors. A number of volatiles, however, have significant biological activity, and under appropriate conditions may effect postharvest quality. An overview of biologically active volatile compounds and their relation to postharvest quality will be presented.
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Esteve-Redondo, Patricia, Raquel Heras-Mozos, Ernest Simó-Ramírez, Gracia López-Carballo, Carol López-de-Dicastillo, Rafael Gavara, and Pilar Hernández-Muñoz. "Innovative Systems for the Delivery of Naturally Occurring Antimicrobial Volatiles in Active Food-Packaging Technologies for Fresh and Minimally Processed Produce: Stimuli-Responsive Materials." Foods 13, no. 6 (March 11, 2024): 856. http://dx.doi.org/10.3390/foods13060856.
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Certain naturally occurring volatile organic compounds are able to mitigate food spoilage caused by microbial growth. Their considerable vapor pressure enables them to create an antimicrobial atmosphere within a package, and this property can be used for the development of active food-packaging technologies. The volatility of these molecules, however, makes their stabilization difficult and limits their effectiveness. Whilst much research is being undertaken on the use of natural antimicrobial volatiles for inhibiting microbial growth in food, less attention has been paid to the design of controlled-release mechanisms that permit the efficient application of these compounds. Most studies to date either spray the volatile directly onto the fresh product, immerse it in a solution containing the volatile, or embed the volatile in a paper disc to create a vapor in the headspace of a package. More sophisticated alternatives would be delivery systems for the sustained release of volatiles into the package headspace. Such systems are based on the encapsulation of a volatile in organic or inorganic matrices (cyclodextrins, electrospun non-wovens, polymer films, micelles, molecular frameworks, etc.). However, most of these devices lack an efficient triggering mechanism for the release of the volatile; most are activated by humidity. All of these techniques are revised in the present work, and the most recent and innovative methods for entrapping and releasing volatiles based on reversible covalent bonds are also discussed.
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Nugrahapsari, Rizka Amalia, and Idha Widi Arsanti. "Analisis Volatilitas Harga Cabai Keriting di Indonesia dengan Pendekatan ARCH GARCH." Jurnal Agro Ekonomi 36, no. 1 (September 18, 2018): 25. http://dx.doi.org/10.21082/jae.v36n1.2018.25-37.
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<strong>English</strong><br />Chili includes a strategic commodity in Indonesia because of its high price volatility that makes it a major determinant of national inflation dynamics. The government always tries to improve its capability in implementing the chili price stabilization policy. The objective of the study is to assess the volatility of curly chili price volatility in Indonesia by using the ARCH GARCH approach with daily price data of January 2011 to December 2015. The results showed that the right model to calculate chili price volatility is ARCH (1). The price volatility was low and price movement was only influenced by the volatility in the previous day, not by the price variant, so the chili price volatility in the future will be smaller. Low volatility indicates that demand and supply characteristics were predictable. Price changes gradually and predictable. Farmers’ protection policy through import restrictions improves stability of domestic supply. The policy reduces the risk of drastic decline in prices due to imported chili, so the price volatility of chili in the period 2011–2015 was lower than the previous period. However, the seasonal price variation remains. Therefore, the policy should be supported with all season chili availability assurance.<br /><br /><br /><strong>Indonesian</strong><br />Cabai termasuk komoditas strategis di Indonesia karena harganya volatil sehingga menjadi salah satu penentu utama dinamika inflasi nasional. Untuk itu, pemerintah senantiasa berusaha meningkatkan kemampuannya dalam melaksanakan kebijakan stabilisasi harga cabai. Penelitian ini bertujuan untuk mengkaji volatilitas harga cabai keriting di Indonesia dengan pendekatan ARCH GARCH dan data harga harian cabai keriting periode Januari 2011 hingga Desember 2015. Hasil penelitian menunjukkan bahwa model yang tepat untuk menghitung volatilitas harga cabai keriting adalah ARCH(1). Hasil pendugaan model menunjukkan volatilitas harga cabai keriting rendah dan pergerakan harga hanya dipengaruhi oleh volatilitas pada satu hari sebelumnya, tidak dipengaruhi varian harga, sehingga diperkirakan volatilitas harga cabai keriting di masa datang akan semakin kecil. Volatilitas yang rendah menunjukkan karakteristik waktu permintaan dan penawaran cabai keriting dapat diprediksi. Perubahan harga terjadi bertahap dan dapat diperkirakan. Kebijakan perlindungan petani melalui pembatasan impor cabai menyebabkan penyediaan cabai di dalam negeri menjadi lebih stabil. Kebijakan ini mengurangi risiko penurunan harga secara drastis akibat masuknya cabai impor, sehingga volatilitas harga cabai pada periode 2011–2015 lebih rendah dibandingkan periode sebelumnya. Namun, masih terdapat variasi harga musiman. Oleh karena itu, kebijakan ini perlu diperkuat dengan upaya jaminan sediaan cabai sepanjang musim.
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Xie, Zhisheng, Qundi Liu, Zhikun Liang, Mingqian Zhao, Xiaoxue Yu, Depo Yang, and Xinjun Xu. "The GC/MS Analysis of Volatile Components Extracted by Different Methods fromExocarpium Citri Grandis." Journal of Analytical Methods in Chemistry 2013 (2013): 1–8. http://dx.doi.org/10.1155/2013/918406.
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Volatile components fromExocarpium Citri Grandis(ECG) were, respectively, extracted by three methods, that is, steam distillation (SD), headspace solid-phase microextraction (HS-SPME), and solvent extraction (SE). A total of 81 compounds were identified by gas chromatography-mass spectrometry including 77 (SD), 56 (HS-SPME), and 48 (SE) compounds, respectively. Despite of the extraction method, terpenes (39.98~57.81%) were the main volatile components of ECG, mainly germacrene-D, limonene, 2,6,8,10,14-hexadecapentaene, 2,6,11,15-tetramethyl-, (E,E,E)-, andtrans-caryophyllene. Comparison was made among the three methods in terms of extraction profile and property. SD relatively gave an entire profile of volatile in ECG by long-time extraction; SE enabled the analysis of low volatility and high molecular weight compounds but lost some volatiles components; HS-SPME generated satisfactory extraction efficiency and gave similar results to those of SD at analytical level when consuming less sample amount, shorter extraction time, and simpler procedure. Although SD and SE were treated as traditionally preparative extractive techniques for volatiles in both small batches and large scale, HS-SPME coupled with GC/MS could be useful and appropriative for the rapid extraction and qualitative analysis of volatile components from medicinal plants at analytical level.
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Dinga, Bruno, Jimbo Henry Claver, Kum Kwa Cletus, and Shu Felix Che. "Modeling and Predicting Exchange Rate Volatility: Application of Symmetric GARCH and Asymmetric EGARCH and GJR-GARCH Models." Journal of the Cameroon Academy of Sciences 19, no. 2 (August 3, 2023): 155–78. http://dx.doi.org/10.4314/jcas.v19i2.6.
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La modélisation et la prévision de la volatilité sont devenues de plus en plus importantes ces derniers temps étant donné qu’une compréhension de la volatilité future peut aider les investisseurs et les diverses parties prenantes à minimiser leurs pertes. Cet article applique l’analyse de séries chronologiques univariées dans la modélisation et la prédiction de la volatilité des taux de change entre le FCFA Camerounais (XAF) et le Dollar Américain (USD) et entre le FCFA Camerounais et le Yuan Chinois (CNY). En utilisant les prix de clôture quotidiens du 1er Janvier 2017 au 30 Septembre 2022, les modèles d’hétéroscédasticité conditionnelle autorégressive généralisée symétrique (GARCH) et asymétrique GARCH exponentiel (EGARCH) et Glosten-Jagannathan-Runkle GARCH (GJR-GARCH) sont utilisés pour capturer des faits stylisés sur l’échange rendements des taux. Les ensembles de données dans l’échantillon et hors échantillon contiennent des données du 1er Janvier 2017 au 31 Décembre 2021 et du 1er Janvier 2022 au 30 Septembre 2022 respectivement. Les résidus sont supposés suivre les distributions normale, t et d’erreur généralisée avec leurs homologues asymétriques. En considérant le modèle avec les critères d’information d’Akaike (AIC) les plus bas, l’article trouve ARMA (0,1) + GJRGARCH (1,1) - SGED et ARMA(1,1)+GJR-GARCH(2,2) - SGED comme les modèles les plus appropriés pour décrire la volatilité des rendements des taux de change USD/XAF et CNY/XAF respectivement. De même, ARMA(0,1)+GARCH(1,1) - SGED et ARMA(1,1)+GJR-GARCH(2,2)-SGED sont les meilleurs modèles prédictifs hors échantillon pour la volatilité de taux de change USD/XAF et CNY/XAF utilisent respectivement l’erreur absolue moyenne (MAE) et l’erreur quadratique moyenne (RMSE). Les effets de levier caractérisent le taux de change CNY/XAF mais sont absents des données sur le taux de change USD/XAF. Les résultats montrent que les modèles hétéroscédastiques conditionnels peuvent être utilisés efficacement pour modéliser et prédire la volatilité conditionnelle des séries de taux de change. Cette recherche recommande que, dans la conception de politiques de taux de change appropriées, les autorités monétaires Camerounaises et la BEAC prennent en considération le fait que le marché des taux de change est très volatil et réagit différemment aux bonnes comme aux mauvaises nouvelles. Modeling and predicting volatility has become increasingly important in recent times given that an understanding of future volatility can help investors and various stakeholders to minimize their losses. This paper applies univariate time series analysis in the modeling and prediction of the volatility of the exchange rates between Cameroon’s FCFA (XAF) and the US Dollar (USD) and between Cameroon’s FCFA and the Chinese Yuan (CNY). Using daily closing prices from 01 January 2017 to 30 September 2022, both symmetric Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and asymmetric Exponential GARCH (EGARCH) and Glosten-Jagannathan-Runkle GARCH (GJR-GARCH) models are used to capture stylized facts about exchange rate returns. The in-sample and out-of-sample data sets contain data from 01 January 2017 to 31 December 2021 and from 01 January 2022 to 30 September 2022 respectively. The residuals are assumed to follow the normal, student’s t and generalized error distributions along with their skewed counterparts. Considering the model with the lowest Akaike Information Criteria (AIC), the paper finds ARMA(0,1) + GJR-GARCH(1,1) - SGED1 and ARMA(1,1)+GJR-GARCH(2,2) - SGED as the most appropriate models to estimate the volatility of the USD/XAF and CNY/XAF exchange rate returns respectively. Equally, ARMA(0,1)+GARCH(1,1) - SGED and ARMA(1,1)+GJR-GARCH(2,2)-SGED are the best out-of-sample predictive models for the volatility of the USD/XAF and CNY/XAF exchange rate returns respectively using Mean Absolute Error (MAE) and Root Mean Square Error (RMSE). Leverage effects are found to characterize the CNY/XAF exchange rate but absent in the USD/XAF exchange rate data. The results show that conditional heteroscedastic models can be effectively used to model and predict the conditional volatility of exchange rate series. This research recommends that, in the design of appropriate exchange rate policies, Cameroon’s monetary authorities and BEAC should take into consideration the fact that the exchange rate market is very volatile and reacts differently to both good and bad news.
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Tian, Zhen, Tomáš Magna, James M. D. Day, Klaus Mezger, Erik E. Scherer, Katharina Lodders, Remco C. Hin, Piers Koefoed, Hannah Bloom, and Kun Wang. "Potassium isotope composition of Mars reveals a mechanism of planetary volatile retention." Proceedings of the National Academy of Sciences 118, no. 39 (September 20, 2021): e2101155118. http://dx.doi.org/10.1073/pnas.2101155118.
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The abundances of water and highly to moderately volatile elements in planets are considered critical to mantle convection, surface evolution processes, and habitability. From the first flyby space probes to the more recent “Perseverance” and “Tianwen-1” missions, “follow the water,” and, more broadly, “volatiles,” has been one of the key themes of martian exploration. Ratios of volatiles relative to refractory elements (e.g., K/Th, Rb/Sr) are consistent with a higher volatile content for Mars than for Earth, despite the contrasting present-day surface conditions of those bodies. This study presents K isotope data from a spectrum of martian lithologies as an isotopic tracer for comparing the inventories of highly and moderately volatile elements and compounds of planetary bodies. Here, we show that meteorites from Mars have systematically heavier K isotopic compositions than the bulk silicate Earth, implying a greater loss of K from Mars than from Earth. The average “bulk silicate” δ41K values of Earth, Moon, Mars, and the asteroid 4-Vesta correlate with surface gravity, the Mn/Na “volatility” ratio, and most notably, bulk planet H2O abundance. These relationships indicate that planetary volatile abundances result from variable volatile loss during accretionary growth in which larger mass bodies preferentially retain volatile elements over lower mass objects. There is likely a threshold on the size requirements of rocky (exo)planets to retain enough H2O to enable habitability and plate tectonics, with mass exceeding that of Mars.
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Alberola, Ricardo. "Estimating Volatility Returns Using ARCH Models. An Empirical Case: The Spanish Energy Market." Lecturas de Economía, no. 66 (October 23, 2009): 251–76. http://dx.doi.org/10.17533/udea.le.n66a2607.
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Este artículo analiza las regularidades más comunes en las series de tiempo del rendimiento diario de las acciones del mercado de energía de España, desde un punto de vista empírico. Al ser una herramienta poderosa para modelar su volatilidad, ajustamos una selección de procesos de heterocedasticidad condicional autorregresiva (ARCH) a las series. Se encuentra que solo dos series tienen una relación significativa, aunque diferente, entre el rendimiento condicional esperado de la acción y su varianza condicional: Enagas, cuya relación es negativa y Cepsa, cuya relación es positiva. Se encuentra, además, que el mercado eléctrico ha sido el más volátil durante el período analizado. Palabras clave: series financieras, acciones, rendimiento, riesgo, volatilidad, modelos ARCH, puntos de cambio estructural. Clasificación JEL: C22. Abstract: This paper analyzes the most common regularities of daily stock returns time series in the Spanish Energy Market from an empirical point of view. As they are a powerful tool, we fit a selection of developments of Autoregressive Conditional Heteroscedastic (ARCH) processes to the series in order to model their volatility. The paper finds that just two series have a significant and different relationship between the expected conditional stock return and its own conditional variance: Enagas (negative) and Cepsa (positive). It also finds that the electric market has been the most volatile market during the period under analysis. Keywords: financial series, stock, return, risk, volatility, ARCH model, structural change points. JEL classification: C22. Résumé: Cet article analyse, du point de vue empirique, les fréquences les plus communes dans les séries de temps du rendement journalier des actions du marché espagnol de l’énergie. Etant donné qu’il s’agit d’un outil puissant pour modeler leur volatilité, nous avons ajusté les séries à travers une sélection de processus d’heterocedasticité conditionnelle autorégressive (ARCH). Nous trouvons qu’il n’y a que deux séries qu’on une relation significative mais différente entre le rendement conditionnel attendu de l’action et sa variance conditionnelle : il s´agit de Enagas dont sa relation est négative et Cepsa dont sa relation est positive. Nos trouvons également que le marché d’électricité a été parmi tous les plus volatil pendant la période d’étude. Mots clés: séries financières, actions, rendement, risque, volatilité, modèles ARCH, points de changement structurel. Classification JEL: C22.
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Pírko, Štěpán. "Investice do volatility jako odpověď na nízké výnosy." Socio-Economic and Humanities Studies 7, no. 1 (June 3, 2018): 125–38. http://dx.doi.org/10.61357/sehs.v7i1.74.
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Pokles úrokových sazeb na historicky nejnižší úrovně se během posledních let stal klíčovým problémem řady investorů. Jednou z alternativ, jak v takové nestandardní době dosahovat výnos, je využít investiční strategie orientované na obchodování s volatilitou. Řada publikovaných studií dokládá, že ceny opcí jsou dlouhodobě vyšší, než odpovídá skutečné volatilitě podkladových aktiv, zejména akciových indexů, což vytváří prostor pro dosažení zisku využitím opcí a dalších investičních nástrojů. Závěry studií, sestrojené indexy i skutečná výkonnost portfolií založených na výše uvedeném principu prokazují, že prostor pro ziskové investiční strategie může být trvalý a je založen na ekonomických zákonitostech vyplývajících z chování investorů. Investiční strategie založené na investování do volatility tak mohou, i přes řadu rizikových faktorů, obohatit výnos portfolia tradičních cenných papírů.
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Colin, Simanjuntak Ronald, and Febrio Nathan Kacaribu. "Pengaruh Volatilitas Makroekonomi terhadap Alokasi Kredit Bank." Jurnal Ekonomi dan Pembangunan Indonesia 21, no. 2 (October 24, 2021): 257–76. http://dx.doi.org/10.21002/jepi.v21i2.1311.
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This study discusses the impact of macroeconomic volatility on bank credit allocation. The hypothesis built that macroeconomic volatility will influence banks to careful in issuing new loans. This study uses panel data with a sample of 10 banks using Baum model. This study uses the macroeconomic volatility as bebast variables. This study uses a generalized method of moment regression test to examine the relationship between dependent and bebast variables. The results of this study indicate negative relationship between inflation volatility and volatility in GDP growth with lending, whereas the volatility of exchange rate depreciation does not have effect on lending. ----------------------------------------------------- Penelitian ini membahas dampak volatilitas makroekonomi terhadap alokasi kredit bank. Hipotesis yang dibangun bahwa volatilitas makroekonomi akan memengaruhi bank bersikap hati-hati dalam menerbitkan kredit baru. Penelitian ini menggunakan data panel dengan sampel sepuluh bank dengan menggunakan Model Baum. Penelitian ini menggunakan volatilitas makro ekonomi sebagai variabel bebas. Penelitian ini menggunakan uji regresi generalized method of moment untuk meneliti hubungan antara variabel dependen dan bebas. Hasil dari penilitian ini menunjukkan adanya hubungan negatif antara volatilitas inflasi dan volatilitas pertumbuhan GDP dengan penyaluran kredit, sedangkan untuk volatilitas depresiasi nilai tukar tidak memiliki pengaruh terhadap penyaluran kredit.
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Astuti, Tri, Sri Ambarwati, and Myranda Shavira. "DETERMINAN VOLATILITAS HARGA SAHAM." RELEVAN : Jurnal Riset Akuntansi 1, no. 2 (May 31, 2021): 73–82. http://dx.doi.org/10.35814/relevan.v1i2.2262.
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Penelitian ini bertujuan untuk menguji secara empiris pengaruh kebijakan dividend, leverage, ukuran perusahaan, dan earning volatility terhadap volatilitas harga saham pada perusahaan manufaktur yang terdaftar di Bursa Efek Indonesia selama 2016-2018. Sampel diperoleh menggunakan metode sampel purposive sampling. Sampel yang digunakan dalam penelitian ini sebanyak 18 perusahaan manufaktur. Penelitian ini dilakukan dengan menggunakan analisis regresi linear berganda. Berdasarkan hasil uji t, kebijakan dividend dan leverage tidak berpengaruh pada volatilitas harga saham, ukuran perusahaan berpengaruh positif, dan earning volatility berpengaruh negatif terhadap volatilitas harga saham. Dari hasil uji F, secara simultan kebijakan dividend, leverage, ukuran perusahaan, dan earning volatility berpengaruh terhadap volatilitas harga saham. Hasil uji koefisien determinasi menunjukkan, variabel kebijakan dividend, leverage, ukuran perusahaan, dan earning volatility memberikan pengaruh sebesar 39,69% dan sisanya dipengaruhi oleh variabel lain di luar model penelitian ini.
Kata kunci: Kebijakan Dividend, Leverage, Ukuran Perusahaan, Earning Volatility, dan Volatilitas Harga Saham
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Almenar, Eva, Rafael Auras, Maria Rubino, and Bruce Harte. "Encapsulation of Naturally Occurring Antifungal Compound into ß-cyclodextrins: A New Technology for Reducing Postharvest Losses." HortScience 41, no. 4 (July 2006): 990A—990. http://dx.doi.org/10.21273/hortsci.41.4.990a.
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The United States is the world's largest producer of blueberries and strawberries. Successful marketing for both of them requires fruit of the highest quality and appearance. However, these fruits have a relatively short postharvest life, mostly due to the incidence of molds such as Colletrotrichum acutatum, Alternaria alternata, and Botrytis cinerea. At present, several natural occurring plant volatiles have been shown to be effective against fungal growth, but, even so, those compounds could not be maintained at constant concentration during the whole postharvest period due to their volatility. In this work, two naturally occurring aldehydes (acetaldehyde and hexanal) were tested and compared against the growth of the above mentioned fungi at 23 °C. After that, the most effective antifungal compound for each fungus was encapsulated in ß-cyclodextrins (ß-CD) and tested during storage period. Both aldehydes were effective in reducing and avoiding fungal proliferation depending on concentration. Fungal proliferation depended on daily, and not initial, volatile concentrations. Volatiles encapsulated in ß-CD showed higher antifungal activity compared to that obtained using the pure volatile during storage. Tested volatiles showed both fungicidal and fungistatic capacities after storage of fungal cultures in air. Results suggested ß-CD-acetaldehyde and ß-CD-hexanal complexes can be used as a new technology to release a naturally occurring antifungal compound during storage against several fungal diseases.
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Ferina, Mahmudah Wulan, and Sunarto Sunarto. "Pengaruh Kebijakan Dividen, Leverage, Volume Perdagangan Saham Terhadap Volatilitas Harga Saham." Journal of Economic, Bussines and Accounting (COSTING) 7, no. 3 (February 3, 2024): 4154–61. http://dx.doi.org/10.31539/costing.v7i3.8632.
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The difference in a company's share price over a certain period of time is known as volatility of share price. A company's volatility is a mirroring of the opportunities and dangers that investors may face. Investors need to pay attention to indicators such as number of trades, leverage, and dividend policy which can impact share price volatility. This research purposes to look at the variables that effected the level of stock price volatility. Issuers listed on the BEI LQ45 index in 2018-2022 are the research population. Purposive sampling was applied to select the research sample with 168 issuers. Hypothesis testing is calculated through multiple regression analysis. The findings of the analysis model explain that (1) Dividend policy has a important and positive effect on the company's volatility value. (2) Leverage has no influence on share price volatility. (3) Trading volume has no influence on share price volatility. This provides an grasp of the low and high levels of dividend policy variables which can have an influence on understanding the level of share price volatility.Keywords: price volatility, dividend payout ratio (DPR), debt to equity ratio (DER), and trading volume activity (TVA).
ABSTRAK
Perbedaan harga saham perusahaan pada kurun waktu tertentu dikenal sebagai volatilitas harga saham. Volatilitas perusahaan adalah cerminan peluang dan bahaya yang mungkin dihadapi investor. Investor perlu memperhatikan indikator-indikator seperti jumlah perdagangan, leverage, dan kebijakan dividen yang memberikan dampak akan volatilitas harga saham. Penelitian ini memiliki tujuan melihat berbagai variabel yang berpengaruh pada tingkat volatilitas harga saham. Emiten yang tercatat pada indeks LQ45 BEI pada tahun 2018-2022 menjadi populasi penelitian. Purposive sampling diaplikasikan untuk memilih sampel, yang akhirnya 168 emiten menjadi sampel penelitian. Uji hipotesis dihitung melalui analisis regresi berganda. Temuan model penelitian menjelaskan bahwasanya (1) Kebijakan dividen memberikan pengaruh secara signifikan dan positif dengan nilai volatilitas perusahaan. (2) Leverage tidak memberikan pengaruh kepada volatilitas harga saham. (3) Volume perdagangan tidak memberikan pengaruh kepada volatilitas harga saham. Hal ini memberikan pemahaman tinggi rendahnya variabel kebijakan dividen mampu memberikan pengaruh akan pemahaman tingkat volatilitas harga saham.
Kata kunci : Volatilitas harga saham, Dividend Pay Ratio (DPR), Debt to Equity Ratio (DER), Trading Volume Activity (TVA)
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Ayuning Putri, Anisa Ferata. "FAKTOR-FAKTOR PENENTU VOLATILITAS HARGA SAHAM SEKTOR PERUSAHAAN PROPERTI, REAL ESTATE DAN BUILDING CONSTRUCTION." Jurnal Akuntansi dan Keuangan 8, no. 2 (September 2, 2020): 109. http://dx.doi.org/10.29103/jak.v8i2.2563.
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Abstrak : Tujuan dari riset ini adalah untuk melihat pengaruh Devidend Payout Ratio, Devidend Yield, Earning Volatility, Pertumbuhan Aset, Leverage, Ukuran Perusahaan dan Blockholders terhadap Volatilitas Harga Saham. Pada penelitian ini akan menggunakan data laporan Perusahaan Lembaga Keuangan dari Bursa Efek Indonesia (BEI) selama periode 2016-2018 dengan populasi sebanyak 201 perusahaan metode purposive sampling digunakan untuk memperoleh sampel selama 3 tahun sebayak 36 perusahaan. Data penelitian ini di analisis menggunaka analisis regresi linier berganda. Hasil analisis ditemukan bahwa Dividen Payout Ratio, Earning Volatility, Pertumbuhan Aset, Ukuran Perusahaan, Blockholdres tidak berpengaruh terhadap Volatilitas Harga Saham Sedangkan untuk variabel Dividen Yield berpengaruh terhadap Volatilitas Harga Saham.Kata kunci : Volatilitas Harga Saham, Dividen Payout Ratio, Dividen Yield, Earning Volatility, Pertumbuhan Aset, Ukuran Perusahaan, Blockholdres Abstrack : The purpose of this study is to examine the effect of Dividend Payment Ratio, Dividend Results, Productive Volatility, Estimated Assets, Leverage, Firm Size and Blockholders on Stock Price Volatility. In this study will use the report data of Financial Institution Companies from the Indonesia Stock Exchange (BEI) during the 2016-2018 period with a population of 201 companies using a purposive sampling method for a 3-year sample of 36 companies. The data of this study were analyzed using multiple linear regression analysis. The results of the analysis found that Dividend Payment Ratios, Income Volatility, Assets, Company Size, Blockholdres are not in conflict with Stock Price Volatility While for the Result Dividend variable produced on Stock Price Volatility. Keywords: Stock Price Volatility, Dividend Payout Ratio, Yield Dividend, Income Volatility, Asset Inventory, Firm Size, Blockholding
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Danial, Rahmadiva Dianitha, and Brady Rikumahu. "PENGARUH VOLATILITAS NILAI TUKAR, IDR-USD TERHADAP RETURN SAHAM DI BURSA EFEK INDONESIA: PENERAPAN MODEL GARCH." Jurnal Riset Akuntansi dan Keuangan 14, no. 2 (July 16, 2019): 95. http://dx.doi.org/10.21460/jrak.2018.142.327.
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Penelitian ini bertujuan untuk menguji pengaruh volatilitas return nilai Kurs IDR-USD terhadap volatilitas return pasar saham di Bursa Efek Indonesia. Dari pengambilan data sekunder dari 3 Januari 2012 hingga 29 September 2017 diperoleh data time series sebanyak 1404 hari. Data dianalisis dengan model GARCH dan Uji Granger Causality. Berdasarkan hasil permodelan GARCH(1,1), volatilitas kurs mempengaruhi volatilitas IHSG. Uji Granger Causality menunjukkan bahwa volatilitas kurs dan IHSG memiliki hubungan yang kausal dua arah. Penelitian ini menunjukkan bahwa informasi kurs dapat memprediksikan kondisi harga indeks saham di pasar modal di periode hari berikutnya, begitupun sebaliknya. Prediksi tepat yang dilakukan oleh investor akan mengurangi risiko dan meningkatkan imbal hasil dalam berinvestasi jika pasar uang maupun pasar modal yang sedang bergejolak. Kata Kunci: GARCH, Volatilitas, IHSG, Nilai Tukar ABSTRACT This study aims to examine the effect of the volatility of the return on the IDR-USD exchange rate toward the volatility of stock market returns in the Indonesia Stock Exchange. From the data collection from 3 January 2012 until 29 September 2017 we obtained 1404 time series. Analyzing data, this study used GARCH modeling and Granger Causality Test. The selected GARCH (1,1) modeling result shows that the volatility of exchange rate influences the volatility of Indonesian Composite Index. Granger Causality test shows that the volatility of exchange rate and volatility of Indonesian Composite Index have two-way granger cause. This study indicates that exchange rate information can predict the condition of stock price index in capital market and movement of Indonesian Composite Index (ICI) can predict exchange rate movement in foreign exchange market. Appropriate predictions by investors will reduce the risk and increase the yield in investing if the money market and capital markets are fluctuating high. Keywords: GARCH, Volatility, ICI, Exchange Rate
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Hidayati, Nurul, and Puji Sucia Sukmaningrum. "FAKTOR YANG MEMPENGARUHI VOLATILITAS HARGA SAHAM PADA EMITEN YANG TERDAFTAR DI JAKARTA ISLAMIC INDEX." Jurnal Ekonomi Syariah Teori dan Terapan 8, no. 6 (December 5, 2021): 706. http://dx.doi.org/10.20473/vol8iss20216pp706-713.
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ABSTRAKTujuan dari penelitian ini yaitu meneliti pengaruh kebijakan dividen, volume perdagangan, volatilitas laba, ukuran perusahaan dan tingkat hutang terhadap volatilitas harga saham di emiten yang terdaftar di JII dari tahun 2015 sampai 2019. Adapun manfaat dari penelitian ini dalam eksistensi pasar finansial secara global karena dapat mengukur tingkat risiko. Penelitian ini dibantu dengan alat analisis Eviews 10. Regresi data panel dipilih dalam penelitian ini. Hasil penelitian membuktikan bahwa secara individual dividend payout ratio, volume perdagangan dan volatilitas laba secara positif memiliki pengaruh yang signifikan, ukuran perusahaan secara negatif memiliki pengaruh signifikan, dan tingkat hutang tidak memiliki pengaruh signifikan terhadap volatilitas harga saham. Secara simultan, variabel dividend payout ratio, volume perdagangan, ukuran perusahaan, volatilitas laba, dan tingkat hutang signifikan berpengaruh terhadap volatilitas harga saham. Kata Kunci: Volatilitas harga saham, emiten syariah, regresi data panel. ABSTRACTThe purpose of this study is to examine the effect of dividend policy, trading volume, earnings volatility, company size and level of debt on stock price volatility in issuers listed in JII from 2015 to 2019. The benefits of this research are in the existence of global financial markets because it can measure the level of risk. This research is assisted by the analysis tool Eviews 10. Panel data regression. selected in this study. The results showed that partially the dividend payout ratio, trading volume and earnings volatility had a positive and significant effect, company size had a negative and significant effect, and the level of debt had no significant effect on stock price volatility. Simultaneously, the variable dividend payout ratio, trading volume, company size, earnings volatility, and level of debt have a significant effect on stock price volatility. Keywords: Stock price volatility, sharia company, panel data regression. DAFTAR PUSTAKABawono, A., & Shina, A. F. I. (2018). Ekonometrika terapan untuk ekonomi dan bisnis Islam aplikasi dengan Eviews. Salatiga: Lembaga Penelitian dan Pengabdian kepada Masyarakat (LP2M) IAIN Salatiga Press.Brigham, E. F., & Houston, J. F. (2011). Dasar-dasar manajemen keuangan, buku kedua. Jakarta: Salemba Empat.Camilleri, S. J., Grima, L., & Grima, S. (2019). The effect of dividend policy on share price volatility: an analysis of Mediterranean banks’ stocks. Managerial Finance, 45(2), 348–364. https://doi.org/10.1108/MF-11-2017-0451Dewi, S., & Paramita, R. A. S. (2019). Pengaruh kebijakan dividen, volume perdagangan, earning volatility, leverage, dan firm size terhadap volatilitas harga saham perusahaan LQ45. Jurnal Ilmu Manajemen, 7(3), 761–771.Fakhruddin, H. M. (2008). Istilah pasar modal A-Z. Jakarta: Elex Media Komputindo.Gumanti, T. A. (2013). Kebijakan Dividen (Pertama). UPP STIM YKPN.Jahfer, A., & Mulafara, A. H. (2016). Dividend policy and share price volatility: Evidence from Colombo stock market. Internaltional Journal Managerial and Financial Accounting, 8(2), 97–108. DOI:10.1504/IJMFA.2016.077947Jannah, R., & Haridhi, M. (2016). Pengaruh kebijakan dividen, earning volatility, dan leverage terhadap volatilitas harga saham pada perusahaan non-financing yang terdaftar di bursa efek Indonesia tahun 2010-2014. Jurnal Ilmiah Mahasiswa Ekonomi Akuntansi, 1(1), 133–148.Mehmood, A., Ullah, M. H., & Ul Sabeeh, N. (2019). Determinants of stock price volatility: Evidence from cement industry. Accounting, 5(4), 145–152. https://doi.org/10.5267/j.ac.2019.2.002Muhamad. (2016). Manajemen keuangan syari’ah analisis fiqh & keuangan. Yogyakarta: UPP STIM YKPN.Novius, A. (2017). Analisis pengaruh kebijakan deviden ( Dividen payout ratio dan devidend yield) terhadap volatilitas harga saham (Studi empiris pada perusahaan kelompok LQ45 yang terdaftar di BEI). Jurnal Al-Iqtishad, 13(1), 67. https://doi.org/10.24014/jiq.v13i1.4389Rowena, J., & Hendra. (2017). Earnings volatility, kebijakan dividen, dan pertumbuhan asset berpengaruh terhadap volatilitas harga saham pada perusahaan manufaktur di BEI periode 2013 – 2015. Jurnal Administrasi Kantor, 5(2), 231–242.Sarmanu. (2017). Dasar metodologi penelitian. Surabaya: Airlangga University Press.Septyadi, M. A., & Bwarleling, T. H. (2020). Pengaruh volume perdagangan saham, leverage, dan kebijakan dividen terhadap volatilitas harga saham, 2, 149–162.Shah, S. A., & Noreen, U. (2016). Stock price volatility and role of dividend policy: Empirical evidence from Pakistan. International Journal of Economics and Financial Issues, 6(2), 461–472.Spence. (1973). Job market signaling. The Quarterly Journal of Economics, 87(3), 355–374. https://doi.org/10.2307/1882010Tandelilin, E. (2010). Manajemen portofolio dan investasi. Surabaya: Kanisius.Yulinda, E., Pujiastuti, T., & Haryono, S. (2020). Analisis pengaruh dividend payout ratio, leverage, firm size, volume perdagangan, earning volatility, dan inflasi terhadap volatilitas harga saham pada perusahaan yang terdaftar dalam indeks LQ45 tahun 2014-2017. Jurnal Ilmiah Indonesia Ilmiah Indonesia, 5(5), 76. DOI:10.36418/syntax-literate.v5i5.1106Zainudin, R., Mahdzan, N. S., & Yet, C. H. (2018). Dividend policy and stock price volatility of industrial products firms in Malaysia. International Journal of Emerging Markets, 13(1), 203–217. https://doi.org/10.1108/IJoEM-09-2016-0250
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Miglietti, Cynthia, Zdenka Kubosova, and Nicole Skulanova. "Bitcoin, Litecoin, and the Euro: an annualized volatility analysis." Studies in Economics and Finance 37, no. 2 (July 4, 2019): 229–42. http://dx.doi.org/10.1108/sef-02-2019-0050.
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Purpose This paper aims to empirically investigate the volatility of Bitcoin, Litecoin and the Euro. Design/methodology/approach The authors use quantitative methodologies to assess the annualized volatility of two cryptocurrencies and one international fiat currency. The exchange rate of the currencies is monitored on a daily basis using 1,460 observations from January 1, 2014 to December 31, 2017. The models used include the augmented Dickey–Fuller test, Akaike Information Criteria, autocorrelation function and exchange rate changes determining which currency is the most volatile. Findings The findings indicate, based on the statistical measures used, including the standard deviation of selected currencies and annualized volatility, that Litecoin is more volatile than Bitcoin and the Euro and that Bitcoin is more volatile than the Euro. This furthers previous research on cryptocurrency volatility. Originality/value The paper provides compelling evidence about the volatility of Litecoin and Bitcoin. The volatility of cryptocurrencies is furthered with data that are more current. The findings are important for investors, financial markets and central banks.
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Cheung, Heidi H. Y., Haobo Tan, Hanbing Xu, Fei Li, Cheng Wu, Jian Z. Yu, and Chak K. Chan. "Measurements of non-volatile aerosols with a VTDMA and their correlations with carbonaceous aerosols in Guangzhou, China." Atmospheric Chemistry and Physics 16, no. 13 (July 12, 2016): 8431–46. http://dx.doi.org/10.5194/acp-16-8431-2016.
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Abstract. Simultaneous measurements of aerosol volatility and carbonaceous matters were conducted at a suburban site in Guangzhou, China, in February and March 2014 using a volatility tandem differential mobility analyzer (VTDMA) and an organic carbon/elemental carbon (OC ∕ EC) analyzer. Low volatility (LV) particles, with a volatility shrink factor (VSF) at 300 °C exceeding 0.9, contributed 5 % of number concentrations of the 40 nm particles and 11–15 % of the 80–300 nm particles. They were composed of non-volatile material externally mixed with volatile material, and therefore did not evaporate significantly at 300 °C. Non-volatile material mixed internally with the volatile material was referred to as medium volatility (MV, 0.4 < VSF < 0.9) and high volatility (HV, VSF < 0.4) particles. The MV and HV particles contributed 57–71 % of number concentration for the particles between 40 and 300 nm in size. The average EC and OC concentrations measured by the OC ∕ EC analyzer were 3.4 ± 3.0 and 9.0 ± 6.0 µg m−3, respectively. Non-volatile OC evaporating at 475 °C or above, together with EC, contributed 67 % of the total carbon mass. In spite of the daily maximum and minimum, the diurnal variations in the volume fractions of the volatile material, HV, MV and LV residuals were less than 15 % for the 80–300 nm particles. Back trajectory analysis also suggests that over 90 % of the air masses influencing the sampling site were well aged as they were transported at low altitudes (below 1500 m) for over 40 h before arrival. Further comparison with the diurnal variations in the mass fractions of EC and the non-volatile OC in PM2.5 suggests that the non-volatile residuals may be related to both EC and non-volatile OC in the afternoon, during which the concentration of aged organics increased. A closure analysis of the total mass of LV and MV residuals and the mass of EC or the sum of EC and non-volatile OC was conducted. It suggests that non-volatile OC, in addition to EC, was one of the components of the non-volatile residuals measured by the VTDMA in this study.
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Chen, Xiu, Yin Nan Yuan, and Yong Bin Lai. "Volatility of Biodiesel Obtainted from Rapeseed Blends with Petroleum Diesel." Advanced Materials Research 236-238 (May 2011): 159–63. http://dx.doi.org/10.4028/www.scientific.net/amr.236-238.159.
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The volatility has been studied since it influences the ignition quality of the fuels in a compression ignition engine. The chemical composition of -10# petrodiesel (-10PD) and rapeseed biodiesel (RME) was analyzed by gas chromatography-mass spectrometry (GC-MS). Volatility of -10PD and RME was studied by thermogravimetry (TG) and liquid volatile theory. Volatile index V was put forward for describing -10PD/RME volatility. A good correlation model was proposed for calculate the -10PD/RME volatility by RME blending ratio. The study showed that -10PD was mainly composed of alkanes: C8-C26. RME was mainly composed of saturated fatty acid methyl esters (SFAME): C14:0-C24:0, unsaturated fatty acid methyl esters (UFAME): C16:1-C22:1, C18:2 and C18:3. The mass fraction of SFAME and UFAME was 14.69% and 83.40%, respectively. RME is considerably more volatile in comparison to -10PD. The -10PD/RME volatility has relation to RME blending ratio. The volatility of B0-B20 is very close to -10PD. The volatility of B20-B100 is better with increasing the RME blending ratio.
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Lai, Yong Bin, Xiu Chen, Wu Jie Ge, and Cui Ying Lu. "Study on Thermal Volatilization of Soybean Biodiesel and Its Blends." Advanced Materials Research 516-517 (May 2012): 212–17. http://dx.doi.org/10.4028/www.scientific.net/amr.516-517.212.
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Thermal analysis has been employed to yield information on the volatility of the biodiesel/petrodiesel since the volatility influences the ignition quality of the fuels in a compression ignition engine. The chemical composition of -10 petrodiesel (-10PD) and soybean biodiesel (SME) was analyzed by gas chromatography-mass spectrometry. The thermal volatilization of biodiesel and its blends was investigated by thermogravimetry and liquid volatile theory. Volatile index was put forward for describing biodiesel/petrodisel volatility. A good correlation model was proposed for calculate the biodiesel/petrodiesel volatility by biodiesel blending ratio. The study showed that -10PD was mainly composed of long chain alkanes: C8–C26. SME was mainly composed of long chain fatty acid methyl esters: C14:0–C24:0, C16:1–C22:1, C18:2 and C18:3. The volatile indexes of SME and -10PD were, respectively, 1.74E-04 and 3.64E-05. The biodiesel fuel was considerably more volatile in comparison to the petrodiesel fuels. The SME/-10PD volatility had relation to SEM blending ratio, it was better with increasing the SME blending ratio.
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Mahatma, Yudi, and Ibnu Hadi. "Stochastic Volatility Estimation of Stock Prices using the Ensemble Kalman Filter." InPrime: Indonesian Journal of Pure and Applied Mathematics 3, no. 2 (November 10, 2021): 136–43. http://dx.doi.org/10.15408/inprime.v3i2.20256.
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AbstractVolatility plays important role in options trading. In their seminal paper published in 1973, Black and Scholes assume that the stock price volatility, which is the underlying security volatility of a call option, is constant. But thereafter, researchers found that the return volatility was not constant but conditional to the information set available at the computation time. In this research, we improve a methodology to estimate volatility and interest rate using Ensemble Kalman Filter (EnKF). The price of call and put option used in the observation and the forecasting step of the EnKF algorithm computed using the solution of Black-Scholes PDE. The state-space used in this method is the augmented state space, which consists of static variables: volatility and interest rate, and dynamic variables: call and put option price. The numerical experiment shows that the EnKF algorithm is able to estimate accurately the estimated volatility and interest rates with an RMSE value of 0.0506.Keywords: stochastic volatility; call option; put option; Ensemble Kalman Filter. AbstrakVolatilitas adalah faktor penting dalam perdagangan suatu opsi. Dalam makalahnya yang dipublikasikan tahun 1973, Black dan Scholes mengasumsikan bahwa volatilitas harga saham, yang merupakan volatilitas sekuritas yang mendasari opsi beli, adalah konstan. Akan tetapi, para peneliti menemukan bahwa volatilitas pengembalian tidaklah konstan melainkan tergantung pada kumpulan informasi yang dapat digunakan pada saat perhitungan. Pada penelitian ini dikembangkan metodologi untuk mengestimasi volatilitas dan suku bunga menggunakan metode Ensembel Kalman Filter (EnKF). Harga opsi beli dan opsi jual yang digunakan pada observasi dan pada tahap prakiraan pada algoritma EnKF dihitung menggunakan solusi persamaan Black-Scholes. Ruang keadaan yang digunakan adalah ruang keadaan yang diperluas yang terdiri dari variabel statis yaitu volatilitas dan suku bunga, dan variabel dinamis yaitu harga opsi beli dan harga opsi jual. Eksperimen numerik menunjukkan bahwa algoritma ENKF dapat secara akurat mengestimasi volatiltas dan suku bunga dengan RMSE 0.0506.Kata kunci: volatilitas stokastik; opsi beli; opsi jual; Ensembel Kalman Filter.
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Afdil Malik Ibrohim, Darmansyah, and Muhammad Yusuf. "Persistensi Laba Dimediasi Corporate Social Responsibility Pada Perusahaan Manufaktur Sektor Insustri Konsumsi Makanan Dan Minuman Di Bursa Efek Indonesia." Jurnal Riset Akuntansi & Perpajakan (JRAP) 6, no. 02 (December 31, 2019): 91–110. http://dx.doi.org/10.35838/jrap.2019.006.02.20.
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ABSTRACT
This research is aimed to examine andfind out empirical evidence o f the influence o f Cash Flow Volatility, Sales Volatility, Leverage, Firm size, Corporate Social Responsibility (CSR) on earnings persistence and the influence o f Cash Flow Volatility, Sales Volatility, Leverage, Firm size on earnings persistence when mediated by Corporate Social Responsibility (CSR) in manufacturing companies consumer goods industry sectors food and beverages listed on the Indonesia Stock Exchange period 2011-2015. The sampling method used is purposive sampling, of the population of in manufacturing companies consumer goods industry sectors food and beverages that exist, would have taken some samples were selected based on certain criteria. Data were tested by means of the classic assumption by using multiple regression analysis techniques (multiple regression) using SPSS 22 for windows. The results show that Cash Flow Volatility, Sales Volatility, Firm size, Corporate Social Responsibility (CSR) partially have no influence significant on Earning persistence. Leverage has significant effect to earnings persistence. Cash Flow Volatility on earnings persistence when mediated by Corporate Social Responsibility (CSR) have significant effect. Sales Volatility, Firm size, Leverage on earnings persistence when mediated by Corporate Social Responsibility (CSR) have not significant effect. The tests are based on a confidence level of 95%, and an error rate of 5%.
ABSTRAK
Penelitian ini bertujuan untuk menguji dan mengisi bukti empiris pengaruh Volatilitas Arus Kas, Volatilitas Penjualan, Leverage, Ukuran Perusahaan, Tanggung Jawab Sosial Perusahaan (CSR) terhadap persistensi laba dan pengaruh Volatilitas Arus Kas, Volatilitas Penjualan, Leverage, Perusahaan ukuran pada persistensi pendapatan ketika dimediasi oleh Corporate Social Responsibility (CSR) di perusahaan manufaktur sektor industri barang konsumsi makanan dan minuman yang terdaftar di Bursa Efek Indonesia periode 2011-2015. Metode pengambilan sampel yang digunakan adalah purposive sampling, dari populasi perusahaan manufaktur sektor industri barang konsumsi makanan dan minuman yang ada, pasti diambil beberapa sampel yang dipilih berdasarkan kriteria tertentu. Data diuji dengan menggunakan asumsi klasik dengan menggunakan teknik analisis regresi berganda (multiple regression) menggunakan SPSS 22 for windows. Hasil penelitian menunjukkan bahwa Volatilitas Arus Kas, Volatilitas Penjualan, ukuran Perusahaan, Corporate Social Responsibility (CSR) secara parsial tidak memiliki pengaruh yang signifikan terhadap Earning Persistence. Leverage berpengaruh signifikan terhadap persistensi laba. Volatilitas Arus Kas terhadap persistensi laba ketika dimediasi oleh Corporate Social Responsibility (CSR) memiliki pengaruh yang signifikan. Volatilitas Penjualan, ukuran Perusahaan, Leverage pada persistensi laba ketika dimediasi oleh Corporate Social Responsibility (CSR) tidak memiliki pengaruh yang signifikan. Tes didasarkan pada tingkat kepercayaan 95%, dan tingkat kesalahan 5%.
JEL Classification: Q56, M41
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Afdil Malik Ibrohim, Darmansyah, and Muhammad Yusuf. "Persistensi Laba Dimediasi Corporate Social Responsibility Pada Perusahaan Manufaktur Sektor Insustri Konsumsi Makanan Dan Minuman Di Bursa Efek Indonesia." Jurnal Riset Akuntansi & Perpajakan (JRAP) 6, no. 02 (December 31, 2019): 91–110. http://dx.doi.org/10.35838/jrap.v6i02.1248.
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ABSTRACT
This research is aimed to examine andfind out empirical evidence o f the influence o f Cash Flow Volatility, Sales Volatility, Leverage, Firm size, Corporate Social Responsibility (CSR) on earnings persistence and the influence o f Cash Flow Volatility, Sales Volatility, Leverage, Firm size on earnings persistence when mediated by Corporate Social Responsibility (CSR) in manufacturing companies consumer goods industry sectors food and beverages listed on the Indonesia Stock Exchange period 2011-2015. The sampling method used is purposive sampling, of the population of in manufacturing companies consumer goods industry sectors food and beverages that exist, would have taken some samples were selected based on certain criteria. Data were tested by means of the classic assumption by using multiple regression analysis techniques (multiple regression) using SPSS 22 for windows. The results show that Cash Flow Volatility, Sales Volatility, Firm size, Corporate Social Responsibility (CSR) partially have no influence significant on Earning persistence. Leverage has significant effect to earnings persistence. Cash Flow Volatility on earnings persistence when mediated by Corporate Social Responsibility (CSR) have significant effect. Sales Volatility, Firm size, Leverage on earnings persistence when mediated by Corporate Social Responsibility (CSR) have not significant effect. The tests are based on a confidence level of 95%, and an error rate of 5%.
ABSTRAK
Penelitian ini bertujuan untuk menguji dan mengisi bukti empiris pengaruh Volatilitas Arus Kas, Volatilitas Penjualan, Leverage, Ukuran Perusahaan, Tanggung Jawab Sosial Perusahaan (CSR) terhadap persistensi laba dan pengaruh Volatilitas Arus Kas, Volatilitas Penjualan, Leverage, Perusahaan ukuran pada persistensi pendapatan ketika dimediasi oleh Corporate Social Responsibility (CSR) di perusahaan manufaktur sektor industri barang konsumsi makanan dan minuman yang terdaftar di Bursa Efek Indonesia periode 2011-2015. Metode pengambilan sampel yang digunakan adalah purposive sampling, dari populasi perusahaan manufaktur sektor industri barang konsumsi makanan dan minuman yang ada, pasti diambil beberapa sampel yang dipilih berdasarkan kriteria tertentu. Data diuji dengan menggunakan asumsi klasik dengan menggunakan teknik analisis regresi berganda (multiple regression) menggunakan SPSS 22 for windows. Hasil penelitian menunjukkan bahwa Volatilitas Arus Kas, Volatilitas Penjualan, ukuran Perusahaan, Corporate Social Responsibility (CSR) secara parsial tidak memiliki pengaruh yang signifikan terhadap Earning Persistence. Leverage berpengaruh signifikan terhadap persistensi laba. Volatilitas Arus Kas terhadap persistensi laba ketika dimediasi oleh Corporate Social Responsibility (CSR) memiliki pengaruh yang signifikan. Volatilitas Penjualan, ukuran Perusahaan, Leverage pada persistensi laba ketika dimediasi oleh Corporate Social Responsibility (CSR) tidak memiliki pengaruh yang signifikan. Tes didasarkan pada tingkat kepercayaan 95%, dan tingkat kesalahan 5%.
JEL Classification: Q56, M41
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Davis, Peter M., and Michael C. Qian. "Effect of Ethanol on the Adsorption of Volatile Sulfur Compounds on Solid Phase Micro-Extraction Fiber Coatings and the Implication for Analysis in Wine." Molecules 24, no. 18 (September 18, 2019): 3392. http://dx.doi.org/10.3390/molecules24183392.
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Complications in the analysis of volatile sulfur compounds (VSC) in wine using solid-phase microextraction (SPME) arise from sample variability. Constituents of the wine matrix, including ethanol, affect the volatility and adsorption of sulfur volatiles on SPME fiber coatings (Carboxen- polydimethylsiloxane(PDMS); DVB-Carboxen-PDMS and DVB-PDMS), which can impact sensitivity and accuracy. Here, several common wine sulfur volatiles, including hydrogen sulfide (H2S), methanethiol (MeSH), dimethyl sulfide (DMS), dimethyl disulfide (DMDS), dimethyl trisulfide (DMTS), diethyl disulfide (DEDS), methyl thioacetate (MeSOAc), and ethyl thioacetate (EtSOAc) are analyzed, using SPME followed by gas chromatography (GC), using a system equipped with a pulsed-flame photometric detection (PFPD) system, at various ethanol concentrations in a synthetic wine matrix. Ethyl methyl sulfide (EMS), diethyl sulfide (DES), methyl isopropyl sulfide (MIS), ethyl isopropyl sulfide (EIS), and diisopropyl disulfide (DIDS) are evaluated as internal standards. The absorption of volatile compounds on the SPME fiber is greatly affected by ethanol. All compounds exhibit a stark decrease in detectability with the addition of ethanol, especially between 0.0 and 0.5% v/v. However, the ratio of interested sulfur compounds to the internal standard becomes more stable when the total alcohol concentration exceeds 2%. EMS was found to best resemble DMS. EIS and DES were found to best resemble DMDS, MeSOAc, and EtSOAc. DIDS was found to best resemble DEDS, DMTS, H2S, and MeSH.
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Suleman, Muhammad Tahir Suleman, Burcu Kapar, and Faisal Rana. "INFECTIOUS DISEASE AND ASYMMETRIC INDUSTRIAL VOLATILITY." Applied Finance Letters 13 (April 4, 2024): 77–97. http://dx.doi.org/10.24135/afl.v13i.694.
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We examine the time-varying effect of stock market volatility due to infectious diseases on industrial sectorsin the US from 2012 to 2021. We extend the current literature by exploring the diverse impact of infectiousdiseases on various industrial sectors and decomposing industrial volatility into good and bad volatility toquantify how good and bad components vary in response to the transmission of shocks due to infectiousdiseases. The results show that the transmission of volatile shocks from the stock market more stronglyenhances the good component of industrial volatility as compared with bad volatility during COVID-19. Weconclude that the relationship between infectious disease equity market volatility and industrial volatilitydepends on the good and bad volatile components and their respective conditions at different quantiles.
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Chen, Xiu, Yin Nan Yuan, and Yong Bin Lai. "The Thermal Volatilization of Petrodisel/Biodiesel from Waste Oil." Advanced Materials Research 347-353 (October 2011): 2656–60. http://dx.doi.org/10.4028/www.scientific.net/amr.347-353.2656.
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Thermogravimetry (TG) has been employed to yield information on the thermal volatilization of the fuels since the volatility influences the ignition quality of the fuels in a compression ignition engine. The chemical composition of -10 petrodiesel (-10PD) and waste oil biodiesel (WME) was analyzed by gas chromatography-mass spectrometry. The thermal volatilization of biodiesel and its blends was investigated by TG and liquid volatile theory. Volatile index was put forward for describing biodiesel/petrodisel volatility. A good correlation model was proposed for calculate the biodiesel/petrodiesel volatility by biodiesel blending ratio. The study showed that -10PD and WME had similar chemical composition and structure. -10PD was mainly composed of long chain alkanes: C8–C26. WME was mainly composed of long chain fatty acid methyl esters: C14:0–C22:0, C16:1–C22:1, C18:2 and C18:3. The volatile indexes of WME and -10PD were 1.47E-04 and 3.64E-05, respectively. The biodiesel was considerably more volatile in comparison to the petrodiesel. The WME/-10PD volatility was better with increasing the biodiesel blending ratio.
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Acuña, Andrés, and Cristián Pinto. "Eficiencia del mercado accionario Chileno: un enfoque dinámico usando test de volatilidad." Lecturas de Economía, no. 70 (September 11, 2009): 39–61. http://dx.doi.org/10.17533/udea.le.n70a2254.
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En este artículo estudiamos la eficiencia del Mercado Accionario Chileno (MAC). Para su comprobación usamos un modelo de equilibrio parcial que representa la manera como se forma el precio de los activos financieros. Contrastamos la volatilidad observada en los precios de las acciones y la volatilidad esperada en un modelo de mercado accionario eficiente. El análisis estadístico comprende datos de frecuencia mensual de títulos transados en la Bolsa de Comercio de Santiago de Chile en el periodo 1987-2007. Utilizando tests de volatilidad, encontramos evidencia de exceso de volatilidad en los precios del mercado accionario chileno; no podemos vincular el exceso de volatilidad a la existencia de una burbuja especulativa racional, y tampoco a un exceso de volatilidad en la tasa de descuento. Palabras clave: eficiencia, mercado accionario, valoración de activos, CAPM. Clasificación JEL: D53, G14 Abstract: This article studies the Chilean Stock Market's efficiency. To corroborate efficiency, we use a partial equilibrium model for financial asset pricing. We contrast between observed and expected Chilean stock price volatility under an efficient stock market framework. For the statistical analysis, we use monthly data for Chilean Stock Market prices from 1987 to 2007. Performing volatility tests, we find evidence of excess volatility in Chilean stock market prices. We cannot link this stock price excess volatility to the existence of a rational speculative bubble, nor to discount rate's excess volatility. Keywords: efficiency, stock market, asset pricing, CAPM. JEL Classification: D53, G14 Résumé: Dans cet article nous étudions l'efficience du marché actionnaire chilien (MAC). Pour ce faire, nous utilisons un modèle d'équilibre partiel qui représente la manière dont le prix des actifs financiers est déterminé. Nous contrastons la volatilité observée dans les prix des actions et la volatilité attendue à l'intérieur d'un modèle de marché actionnaire efficient. L'analyse statistique comprend un ensemble de données de fréquence mensuelle des titres échangés à la Bourse de Commerce de Santiago du Chili pour la période 1987-2007. En utilisant des tests de volatilité, nous montrons qu'il existe un excès de volatilité dans les prix du marché actionnaire chilien; sans qu'il soit posible lier cet excès de volatilité ni à l'existence d'une bulle spéculative rationnelle, ni au taux d'escompte. Mots clé: efficience, marché actionnaire, évaluation d'actifs, CAPM. Classification JEL : D53, G14
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Beaudry, Randolph M. "Modeling the Accumulation of Volatiles in the Interstices of Fruit Interiors and the Fruit Cuticle." HortScience 30, no. 4 (July 1995): 809G—810. http://dx.doi.org/10.21273/hortsci.30.4.809g.
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A theoretical model was developed that predicts how volatiles synthesized by fruit accumulate in the fruit interior and the fruit cuticle. Model inputs include temperature, rates of volatile synthesis, solubility of the volatile in the cuticular material, and the permeability of the volatile through the cuticle. The model indicated that the accumulation of volatiles was highly temperature-dependent and dependent upon the nature of the interaction between the volatile and the cuticle. For volatiles whose cuticular permeability declined rapidly with temperature, the concentration in the fruit and fruit cuticle tended to increase with decreasing temperature. This accumulation of volatiles in the fruit and fruit cuticle with decreasing temperature was enhanced by a decrease in the heat of solution (i.e., temperature sensitivity of solubility) and diminished by an increase in the Q10 Of the rate of volatile synthesis (i.e., the temperature sensitivity of the rate of synthesis). The model suggests that storage temperature can influence volatile retention and, hence, the volatile profile.
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Beaudry, Randolph M. "Modeling the Accumulation of Volatiles in the Interstices of Fruit Interiors and the Fruit Cuticle." HortScience 30, no. 4 (July 1995): 809G—810. http://dx.doi.org/10.21273/hortsci.30.4.809.
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A theoretical model was developed that predicts how volatiles synthesized by fruit accumulate in the fruit interior and the fruit cuticle. Model inputs include temperature, rates of volatile synthesis, solubility of the volatile in the cuticular material, and the permeability of the volatile through the cuticle. The model indicated that the accumulation of volatiles was highly temperature-dependent and dependent upon the nature of the interaction between the volatile and the cuticle. For volatiles whose cuticular permeability declined rapidly with temperature, the concentration in the fruit and fruit cuticle tended to increase with decreasing temperature. This accumulation of volatiles in the fruit and fruit cuticle with decreasing temperature was enhanced by a decrease in the heat of solution (i.e., temperature sensitivity of solubility) and diminished by an increase in the Q10 Of the rate of volatile synthesis (i.e., the temperature sensitivity of the rate of synthesis). The model suggests that storage temperature can influence volatile retention and, hence, the volatile profile.
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Bryan, David B., and Terry W. Mason. "Earnings Volatility and Auditor Risk Assessments: Evidence from Auditor Resignations." Accounting Horizons 34, no. 4 (August 4, 2020): 33–56. http://dx.doi.org/10.2308/horizons-18-060.
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SYNOPSIS This study proposes that auditors incorporate earnings volatility into their risk assessments such that volatility is associated with auditor resignations. Because volatile earnings are less predictable, they create larger deviations from the auditor's expectation of earnings and could increase auditor risk assessments. Higher earnings volatility could also signal underlying conditions that increase risk because accounting estimates become less reliable. Alternatively, auditors may perceive lower earnings volatility as riskier if auditors view it as an indication of more earnings management. We find a positive association between earnings volatility and auditor resignations, consistent with auditors viewing volatile earnings as riskier. This association is stronger for non-industry-specialists and auditors without long tenure. Finally, after the resignation of a Big 4 auditor, firms in the top quartile of earnings volatility are more likely to switch to a non-Big 4 auditor. Overall, our results show that earnings volatility plays an important role in auditor-client realignments.
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Juwita*, Ratna, Dewi Melinia Ramadhani, and Anis Wahyu Intan Maris. "The Determinants of Cryptocurrency Returns." Jurnal Ilmu Keuangan dan Perbankan (JIKA) 12, no. 2 (June 27, 2023): 235–46. http://dx.doi.org/10.34010/jika.v12i2.9461.
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This study examines the determinants of cryptocurrency returns, namely Trading Volume, Price Volatility, and Market Capitalization. This study uses Bitcoin, Ethereum, Tether, USD Coin, and BNB, which are the Top 5 largest Cryptocurrency Market Capitalizations in 2022. The testing method used in this study is a panel data regression analysis. The results of this study prove that Trading Volume and Price Volatility have a significant and positive effect on Cryptocurrency Returns. In contrast, Market Capitalization does not substantially impact Cryptocurrency Returns. If investors want to earn high returns, then it is advisable to choose cryptocurrencies with high trading volume and high price volatility. But keep in mind, with high price volatility can also mean a greater risk of the coin.
Keywords: Cryptocurrency; Trading Volume; Price Volatility; Market Capitalization; Return
Abstrak
Penelitian ini bertujuan untuk menguji berbagai factor penentu imbal hasil cryptocurrency yaitu Volume Perdagangan, Volatilitas Harga dan Market Capitalization. Studi ini menggunakan Bitcoin, Ethereum, Tether, USD Coin, dan BNB yang merupakan Top 5 Market Capitalization Cryptocurrency terbesar tahun 2022. Metode pengujian yang dilakukan dalam penelitian ini yaitu uji analisis regresi data panel. Hasil dari penelitian ini membuktikan bahwa Volume Perdagangan dan Volatilitas Harga berpengaruh signifikan dan positif terhadap Return Cryptocurrency, sedangkan Market Capitalization tidak memiliki pengaruh yang signifikan terhadap Return Cryptocurrency. Jika investor ingin mendapatkan return yang tinngi, maka disarankan untuk memilih cryptocurrency yang memiliki Volume Perdagangan dan Volatilitas Harga yang tinggi. Namun yang perlu diingat adalah, dengan tingginya Volatilitas Harga berarti pula tingginya risiko koin crypto tersebut.
Kata Kunci: Mata uang kripto; Volume Perdagangan; Volatilitas Harga; Kapitalisasi pasar; Pengembalian
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Setiawan, Rahmat, and Rr Alvita Aulia Nareswari. "Volatilitas Arus Kas terhadap Kredit Perdagangan dengan Ukuran Perusahaan sebagai Variabel Moderasi." MBIA 22, no. 3 (December 8, 2023): 340–55. http://dx.doi.org/10.33557/mbia.v22i3.2489.
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This study aims to determine the effect of cash flow volatility on trade credit and whether firm size moderates the influence of cash flow volatility on trade credit. This study has a 129 sample with 589 observation manufacturing companies in Indonesia listed on the Indonesia Stock Exchange (IDX) in the 2016-2020 period. The sampling method used is purposive sampling, and the analytical method used is Multiple Linear Regression Analysis and Moderated Regression Analysis (MRA). The results of this study indicate that cash flow volatility has a significant negative effect on trade credit, and firm size significantly weakened the influence of cash flow volatility on trade credit. The control variable in this study, leverage, does not affect trade credit; sales growth has a positive effect on trade credit, and days sales in inventory have a negative effect on trade credit. Keywords: Trade Credit, Cash Flow Volatility, Firm Size Abstrak Penelitian ini bertujuan untuk mengetahui pengaruh volatilitas arus kas terhadap kredit perdagangan dan apakah ukuran perusahaan memoderasi pengaruh volatilitas arus kas terhadap kredit perdagangan. Penelitian ini menggunakan 129 sampel dengan 589 observasi perusahaan manufaktur di Indonesia yang terdaftar di Bursa Efek Indonesia (BEI) periode 2016-2020. Pemilihan sampel menggunakan metode purposive sampling. Metode analisis yang digunakan adalah analisis regresi linear berganda dan regresi moderasi. Hasil penelitian menunjukkan volatilitas arus kas berpengaruh negatif signifikan terhadap kredit perdagangan dan ukuran perusahaan secara signifikan memperlemah pengaruh volatilitas arus kas terhadap kredit perdagangan. Variabel kontrol pada penelitian ini yaitu leverage tidak berpengaruh signifikan terhadap kredit perdagangan, sales growth berpengaruh positif terhadap kredit perdagangan, dan days sales in inventory berpengaruh negatif terhadap kredit perdagangan. Kata kunci: Kredit Perdagangan, Volatilitas Arus Kas, Ukuran Perusahaan
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Kangasniemi, Oskari, Pauli Simonen, Jana Moldanová, Hilkka Timonen, Luis M. F. Barreira, Heidi Hellén, Jukka-Pekka Jalkanen, et al. "Volatility of a Ship’s Emissions in the Baltic Sea Using Modelling and Measurements in Real-World Conditions." Atmosphere 14, no. 7 (July 20, 2023): 1175. http://dx.doi.org/10.3390/atmos14071175.
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Shipping emissions are a major source of particulate matter in the atmosphere. The volatility of gaseous and particulate phase ship emissions are poorly known despite their potentially significant effect on the evolution of the emissions and their secondary organic aerosol (SOA) formation potential. An approach combining a genetic optimisation algorithm with volatility modelling was used on volatility measurement data to study the volatility distribution of a ship engine’s emissions in real-world conditions. The fuels used were marine gas oil (MGO) and methanol. The engine was operated with 50% and 70% loads with and without active NOx after-treatment with selective catalytic reduction (SCR). The volatility distributions were extended to higher volatilities by combining the speciation information of the gas phase volatile organic compounds with particle phase volatility distributions and organic carbon measurements. These measurements also provided the emission factors of the gas and particle phase emissions. The results for the particle phase volatility matched well with the existing results placing most of the volatile organic mass in the intermediate volatile organic compounds (IVOC). The IVOCs also dominated the speciated gas phase. Partitioning of the emissions in the gas and particle phases was affected significantly by the total organic mass concentration, underlining the importance of the effect of the dilution on the phase of the emissions.
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Xu, Weiqi, Conghui Xie, Eleni Karnezi, Qi Zhang, Junfeng Wang, Spyros N. Pandis, Xinlei Ge, et al. "Summertime aerosol volatility measurements in Beijing, China." Atmospheric Chemistry and Physics 19, no. 15 (August 13, 2019): 10205–16. http://dx.doi.org/10.5194/acp-19-10205-2019.
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Abstract. Volatility plays a key role in affecting mass concentrations and the lifetime of aerosol particles in the atmosphere, yet our knowledge of aerosol volatility in relatively polluted environment, e.g., north China, remains poor. Here aerosol volatility in Beijing in summer 2017 and 2018 was measured using a thermodenuder (TD) coupled with an Aerodyne high-resolution aerosol mass spectrometer (AMS) and a soot particle AMS. Our results showed overall similar thermograms for most non-refractory aerosol species compared with those reported in previous studies. However, high mass fraction remaining and NO+/NO2+ ratio for chloride and nitrate, each above 200 ∘C, indicated the presence of considerable metallic salts and organic nitrates in Beijing. The volatility distributions of organic aerosol (OA) and four OA factors that were resolved from positive matrix factorization were estimated using a mass transfer model. The ambient OA comprised mainly semi-volatile organic compounds (SVOCs; 63 %) with an average effective saturation concentration (C*) of 0.55 µg m−3, suggesting overall more volatile properties than OA in megacities of Europe and the US. Further analysis showed that the freshly oxidized secondary OA was the most volatile OA factor (SVOC = 70 %) followed by hydrocarbon-like OA (HOA). In contrast, the volatility of more oxidized oxygenated OA (MO-OOA) was comparable to that of cooking OA with SVOC on average accounting for 60.2 %. We also compared the volatility of ambient and black-carbon-containing OA. Our results showed that the BC-containing primary OA (POA) was much more volatile than ambient POA (C*=0.69 µg m−3 vs. 0.37 µg m−3), while the BC-containing SOA was much less volatile, highlighting the very different composition and properties between BC-containing and ambient aerosol particles.
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Graham, Emelie L., Cheng Wu, David M. Bell, Amelie Bertrand, Sophie L. Haslett, Urs Baltensperger, Imad El Haddad, Radovan Krejci, Ilona Riipinen, and Claudia Mohr. "Volatility of aerosol particles from NO3 oxidation of various biogenic organic precursors." Atmospheric Chemistry and Physics 23, no. 13 (July 5, 2023): 7347–62. http://dx.doi.org/10.5194/acp-23-7347-2023.
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Abstract. Secondary organic aerosol (SOA) is formed through the oxidation of volatile organic compounds (VOCs), which can be of both natural and anthropogenic origin. While the hydroxyl radical (OH) and ozone (O3) are the main atmospheric oxidants during the day, the nitrate radical (NO3) becomes more important during the nighttime. Yet, atmospheric nitrate chemistry has received less attention compared to OH and O3. The Nitrate Aerosol and Volatility Experiment (NArVE) aimed to study the NO3-induced SOA formation and evolution from three biogenic VOCs (BVOCs), namely isoprene, α-pinene, and β-caryophyllene. The volatility of aerosol particles was studied using isothermal evaporation chambers, temperature-dependent evaporation in a volatility tandem differential mobility analyzer (VTDMA), and thermal desorption in a filter inlet for gases and aerosols coupled to a chemical ionization mass spectrometer (FIGAERO-CIMS). Data from these three setups present a cohesive picture of the volatility of the SOA formed in the dark from the three biogenic precursors. Under our experimental conditions, the SOA formed from NO3 + α-pinene was generally more volatile than SOA from α-pinene ozonolysis, while the NO3 oxidation of isoprene produced similar although slightly less volatile SOA than α-pinene under our experimental conditions. β-Caryophyllene reactions with NO3 resulted in the least volatile species. Four different parameterizations for estimating the saturation vapor pressure of the oxidation products were tested for reproducing the observed evaporation in a kinetic modeling framework. Our results show that the SOA from nitrate oxidation of α-pinene or isoprene is dominated by low-volatility organic compounds (LVOCs) and semi-volatile organic compounds (SVOCs), while the corresponding SOA from β-caryophyllene consists primarily of extremely low-volatility organic compounds (ELVOCs) and LVOCs. The parameterizations yielded variable results in terms of reproducing the observed evaporation, and generally the comparisons pointed to a need for re-evaluating the treatment of the nitrate group in such parameterizations. Strategies for improving the predictive power of the volatility parameterizations, particularly in relation to the contribution from the nitrate group, are discussed.
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Sari, Linda Karlina, Noer Azam Achsani, and Bagus Sartono. "Pemodelan Volatilitas Return Saham: Studi Kasus Pasar Saham Asia." Jurnal Ekonomi dan Pembangunan Indonesia 18, no. 1 (July 1, 2017): 35–52. http://dx.doi.org/10.21002/jepi.v18i1.717.
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Modelling Volatility of Return Stock Index: Evidence from Asian CountriesVolatility is one of the interesting phenomenon in financial market; the reason is because of its eect to the existence of global financial market. The existence of volatility closely related to the risk in stock model. This research aims to determine the right model in modeling stock return volatility taken from four Asian countries with symmetric and various asymmetric model of GARCH. The result from fitting the right model for all of four stock markets showed that asymmetric model of GARCH showing a better estimation in portraying stock return volatility. Moreover, the model can reveal the existence of asymmetric eects on those four stock markets.Keywords: GARCH Asymmetric; Stock Market; Modelling; GARCH Symmetry; Volatility AbstrakVolatilitas pada pasar keuangan merupakan salah satu fenomena yang sangat menarik karena dampaknya terhadap eksistensi pasar finansial global. Keberadaan volatilitas berhubungan dengan risiko sebuah. Tulisan ini bertujuan menentukan model terbaik dalam memodelkan volatilitas return saham pada empat negara di Asia dengan menggunakan model simetris GARCH dan berbagai macam model asimetris GARCH. Hasil dari fitting model terbaik untuk keempat pasar saham menunjukkan bahwa model asimetris GARCH menunjukkan estimasi yang lebih baik dalam menggambarkan volatilitas return saham. Lebih jauh lagi, model tersebut mengungkapkan keberadaan efek asimetris pada keempat pasar saham.
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Qian, Qi, Jiarong Cui, Yuanyuan Miao, Xiaofang Xu, Huiying Gao, Hongxing Xu, Zhongxian Lu, and Pingyang Zhu. "The Plant Volatile-Sensing Mechanism of Insects and Its Utilization." Plants 13, no. 2 (January 10, 2024): 185. http://dx.doi.org/10.3390/plants13020185.
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Plants and insects are engaged in a tight relationship, with phytophagous insects often utilizing volatile organic substances released by host plants to find food and egg-laying sites. Using plant volatiles as attractants for integrated pest management is vital due to its high efficacy and low environmental toxicity. Using naturally occurring plant volatiles combined with insect olfactory mechanisms to select volatile molecules for screening has proved an effective method for developing plant volatile-based attractant technologies. However, the widespread adoption of this technique is still limited by the lack of a complete understanding of molecular insect olfactory pathways. This paper first describes the nature of plant volatiles and the mechanisms of plant volatile perception by insects. Then, the attraction mechanism of plant volatiles to insects is introduced with the example of Cnaphalocrocis medinalis. Next, the progress of the development and utilization of plant volatiles to manage pests is presented. Finally, the functions played by the olfactory system of insects in recognizing plant volatiles and the application prospects of utilizing volatiles for green pest control are discussed. Understanding the sensing mechanism of insects to plant volatiles and its utilization will be critical for pest management in agriculture.
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Wai-Yan Wong and Chee-Wooi Hooy. "Politically Connected Firms and Their Stock Return Volatility during High-Visibility Events: Evidence from Malaysia." International Journal of Business and Society 22, no. 3 (December 17, 2021): 1449–68. http://dx.doi.org/10.33736/ijbs.4314.2021.
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This study investigates the relationship between political connection and firm stock volatility. We examine whether stock return volatility of politically connected firms differ from non-connected firms during four events. These four events are general election, change of leadership, announcement of government budget, and announcement of policies by the government. This paper uses a volatility event study technique to calculate the abnormal stock return volatility during the four events. We use the data of public-listed firms in Malaysia from 2002 to 2013. The result shows that political connection is associated with higher stock volatility in certain events. They appear to be the most volatile in the event of general election and least volatile during budget announcement. Besides budget announcement, the other three events showed a stronger volatility as they are considered as more of a surprise announcement rather than scheduled announcement. The paper adds to a limited body of literature investigating the relationship between political connection and market behavior in Malaysia and hopes to show that political connection can impact the stock return volatility of firms during high-visibility events in Malaysia.
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Gao, Chloe Y., Kostas Tsigaridis, and Susanne E. Bauer. "MATRIX-VBS (v1.0): implementing an evolving organic aerosol volatility in an aerosol microphysics model." Geoscientific Model Development 10, no. 2 (February 16, 2017): 751–64. http://dx.doi.org/10.5194/gmd-10-751-2017.
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Abstract. The gas-particle partitioning and chemical aging of semi-volatile organic aerosol are presented in a newly developed box model scheme, where its effect on the growth, composition, and mixing state of particles is examined. The volatility-basis set (VBS) framework is implemented into the aerosol microphysical scheme MATRIX (Multiconfiguration Aerosol TRacker of mIXing state), which resolves mass and number aerosol concentrations and in multiple mixing-state classes. The new scheme, MATRIX-VBS, has the potential to significantly advance the representation of organic aerosols in Earth system models by improving upon the conventional representation as non-volatile particulate organic matter, often also with an assumed fixed size distribution. We present results from idealized cases representing Beijing, Mexico City, a Finnish forest, and a southeastern US forest, and investigate the evolution of mass concentrations and volatility distributions for organic species across the gas and particle phases, as well as assessing their mixing state among aerosol populations. Emitted semi-volatile primary organic aerosols evaporate almost completely in the intermediate-volatility range, while they remain in the particle phase in the low-volatility range. Their volatility distribution at any point in time depends on the applied emission factors, oxidation by OH radicals, and temperature. We also compare against parallel simulations with the original scheme, which represented only the particulate and non-volatile component of the organic aerosol, examining how differently the condensed-phase organic matter is distributed across the mixing states in the model. The results demonstrate the importance of representing organic aerosol as a semi-volatile aerosol, and explicitly calculating the partitioning of organic species between the gas and particulate phases.
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Kaltbach, Pedro, Marit Gillmeister, Kathrin Kabrodt, and Ingo Schellenberg. "Screening of Volatile Compounds in Mate (Ilex paraguariensis) Tea—Brazilian Chimarrão Type—By HS-SPDE and Hydrodistillation Coupled to GC-MS." Separations 8, no. 9 (August 24, 2021): 131. http://dx.doi.org/10.3390/separations8090131.
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The volatile fraction of mate (Ilex paraguariensis) tea—specifically Brazilian chimarrão type, which has an odor profile comprising distinctive fresh, green, grass, and herbal notes—was investigated. Hydrodistillation in a Clevenger apparatus was employed in order to extract volatiles from the tea matrix. Headspace–solid-phase dynamic extraction (HS-SPDE) was employed to extract the volatiles from two types of infusions of this tea—a simple single infusion and a traditional preparation of consecutive infusions. Volatiles were analyzed by gas chromatography–flame ionization detection/mass spectrometry (GC-FID/MS). In total, 85 compounds were either identified or tentatively identified and semi-quantified. Semi-quantification comprised peak area integration of all the peaks (including the unidentified ones) in the chromatogram. Results obtained by hydrodistillation and by HS-SPDE were distinct, covering mostly different ranges of volatility and showing only 15 compounds in common. The identified compounds had their respective average and minimum odor thresholds and odor characteristics compiled from the literature. Several major compounds considered as key odorants in other mate tea products were not detected or only present at low levels in the samples of this research. Approximately half of the odorants identified in these samples were commonly reported in different mate tea types; the remaining 41 molecules—predominantly terpenoids (isoprenoids)—could be listed as specific to the Brazilian chimarrão type and are suggested to underlie its typical freshness.
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Naik, Nagaraj, and Biju R. Mohan. "Stock Price Volatility Estimation Using Regime Switching Technique-Empirical Study on the Indian Stock Market." Mathematics 9, no. 14 (July 7, 2021): 1595. http://dx.doi.org/10.3390/math9141595.
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Volatility is the degree of variation in the stock price over time. The stock price is volatile due to many factors, such as demand, supply, economic policy, and company earnings. Investing in a volatile market is riskier for stock traders. Most of the existing work considered Generalized Auto-regressive Conditional Heteroskedasticity (GARCH) models to capture volatility, but this model fails to capture when the volatility is very high. This paper aims to estimate the stock price volatility using the Markov regime-switching GARCH (MSGARCH) and SETAR model. The model selection was carried out using the Akaike-Informations-Criteria (AIC) and Bayesian-Information Criteria (BIC) metric. The performance of the model is evaluated using the Root mean square error (RMSE) and mean absolute percentage error (MAPE) metric. We have found that volatility estimation using the MSGARCH model performed better than the SETAR model. The experiments considered the Indian stock market data.
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Brugger, Martin, Jacob Holländer, and Gunther Reinhart. "Entwicklung energieflexibler Anlagen/Development of energy-flexible machinery." wt Werkstattstechnik online 110, no. 05 (2020): 333–38. http://dx.doi.org/10.37544/1436-4980-2020-05-65.
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Mit der Energiewende geht durch Wind- und Photovoltaikanlagen eine erhöhte Volatilität in der Stromerzeugung einher. Daher müssen industrielle Fertigungsanlagen zunehmend in der Lage sein, energieflexibel zu arbeiten. Dies verbessert einerseits die Netzstabilität und bietet andererseits Unternehmen die Möglichkeit, Energiekosten einzusparen. In diesem Beitrag wird anhand einer Entwicklung einer energieflexiblen Demonstrationsanlage, aufzeigt, wie Energieflexibilitätsmaßnahmen auf der Fertigungsebene um- und eingesetzt werden können. Wind energy and photovoltaic systems are accompanied by increased volatility in power generation due to the energy transition. To counteract the volatile generation, industrial production plants need to raise their ability to operate energy flexible. This improves grid stability and leads to cost savings for companies. In this paper it is shown how measures for energy flexibility can be successfully implemented and applied on the shop floor level. This is done by the development of an energy flexible demonstration plant.
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Karnezi, E., I. Riipinen, and S. N. Pandis. "Measuring the atmospheric organic aerosol volatility distribution: a theoretical analysis." Atmospheric Measurement Techniques Discussions 7, no. 1 (January 28, 2014): 859–93. http://dx.doi.org/10.5194/amtd-7-859-2014.
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Abstract. Organic compounds represent a significant fraction of submicrometer atmospheric aerosol mass. Even if most of these compounds are semi-volatile in atmospheric concentrations, the ambient organic aerosol volatility is quite uncertain. The most common volatility measurement method relies on the use of a thermodenuder (TD). The aerosol passes through a heated tube where its more volatile components evaporate leaving the less volatile behind in the particulate phase. The typical result of a~thermodenuder measurement is the mass fraction remaining (MFR), which depends among other factors on the organic aerosol (OA) vaporization enthalpy and the accommodation coefficient. We use a new method combining forward modeling, introduction of "experimental" error and inverse modeling with error minimization for the interpretation of TD measurements. The OA volatility distribution, its effective vaporization enthalpy, the mass accommodation coefficient and the corresponding uncertainty ranges are calculated. Our results indicate that existing TD-based approaches quite often cannot estimate reliably the OA volatility distribution, leading to large uncertainties, since there are many different combinations of the three properties that can lead to similar thermograms. We propose an improved experimental approach combining TD and isothermal dilution measurements. We evaluate this experimental approach using the same model and show that it is suitable for studies of OA volatility in the lab and the field.
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Božić, Zorana, Dušan Dobromirov, Jovana Arsić, Mladen Radišić, and Beata Ślusarczyk. "Power Exchange Prices: Comparison of Volatility in European Markets." Energies 13, no. 21 (October 27, 2020): 5620. http://dx.doi.org/10.3390/en13215620.
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Power exchanges in Europe have been operating since the 1990s, while in the region of Southeast Europe (SEE) they are only a few years old. Volatility is considered to be one of the indicators that define the level of market development. In this paper, the authors examine 15 power markets in Europe with the novelty of special attention dedicated to the SEE markets, in terms of their volatility. The aim of this paper is to investigate volatility on SEE markets, and their correlation with developed European markets. Power price volatility is measured by price velocity concepts, the daily velocity based on daily/monthly/quarterly/yearly and overall average power prices. The outcomes reveal that power price volatility is higher in new SEE markets than in more mature European markets. The least volatile market is the Greek pool, followed by Switzerland and Austria. The Bulgarian market is the most volatile, followed by that of Romania, and these markets are nearly twice as volatile as the ones previously mentioned. A correlation matrix is carried out and confirms positive correlation between all markets in terms of their average prices. However, a correlation matrix of measured volatilities depicts a negative correlation, in some cases, between SEE and Central European (CE) markets.
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Hara, K., K. Osada, C. Nishita-Hara, M. Yabuki, M. Hayashi, T. Yamanouchi, M. Wada, and M. Shiobara. "Seasonal features of ultrafine particle volatility in the coastal Antarctic troposphere." Atmospheric Chemistry and Physics 11, no. 18 (September 21, 2011): 9803–12. http://dx.doi.org/10.5194/acp-11-9803-2011.
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Abstract. The size distribution and volatility of ultrafine aerosol particles were measured using scanning mobility particle sizer and thermodenuder at Syowa Station during the 46–47 Japanese Antarctic Research Expeditions (2005–2007). The relative abundance of non-volatile particles in a 240 °C scan was approximately 20% during the summer, whereas the abundance of non-volatile particles increased by >90% during the winter–spring. Most ultrafine particles were volatilized at temperature of 150–210 °C. This volatility was consistent well to major aerosol constituents (NH4+, SO42− and CH3SO3−) during the summer. In contrast, major constituents of ultrafine particles were sea-salts (Na+ and Cl−) in winter–spring. Therefore, the seasonal feature of volatility of ultrafine particles at Syowa was associated with seasonal variations of the major aerosol constituents. Although the relative abundance of non-volatile particles was usually higher during the winter–spring, the abundance dropped occasionally to <30%. The lower abundance of non-volatile ultrafine particles during winter–spring corresponded to the lower number concentration of ultrafine particles and transport from the free troposphere over Antarctica.
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Paciga, A., E. Karnezi, E. Kostenidou, L. Hildebrandt, M. Psichoudaki, G. J. Engelhart, B. H. Lee, et al. "Volatility of organic aerosol and its components in the Megacity of Paris." Atmospheric Chemistry and Physics Discussions 15, no. 16 (August 20, 2015): 22263–89. http://dx.doi.org/10.5194/acpd-15-22263-2015.
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Abstract. Using a mass transfer model and the volatility basis set, we estimate the volatility distribution for the organic aerosol (OA) components during summer and winter in Paris, France as part of the collaborative project MEGAPOLI. The concentrations of the OA components as a function of temperature were measured combining data from a thermodenuder and an aerosol mass spectrometer (AMS) with Positive Matrix Factorization (PMF) analysis. The hydrocarbon-like organic aerosol (HOA) had similar volatility distributions for the summer and winter campaigns with half of the material in the saturation concentration bin of 10 μg m−3 and another 35–40 % consisting of low and extremely low volatility organic compounds (LVOCs and ELVOCs, respectively). The winter cooking OA (COA) was more than an order of magnitude less volatile than the summer COA. The low volatility oxygenated OA (LV-OOA) factor detected in the summer had the lowest volatility of all the derived factors and consisted almost exclusively of ELVOCs. The volatility for the semi-volatile oxygenated OA (SV-OOA) was significantly higher than that of the LV-OOA, containing both semi-volatile organic components (SVOCs) and LVOCs. The oxygenated OA (OOA) factor in winter consisted of SVOCs (45 %), LVOCs (25 %) and ELVOCs (30 %). The volatility of marine OA (MOA) was higher than that of the other factors containing around 60 % SVOCs. The biomass burning OA (BBOA) factor contained components with a wide range of volatilities with significant contributions from both SVOCs (50 %) and LVOCs (30 %). Finally, combining the O : C ratio and volatility distributions of the various factors, we incorporated our results into the two-dimensional volatility basis set (2D-VBS). Our results show that the factors cover a broad spectrum of volatilities with no direct link between the average volatility and average O : C of the OA components. Agreement between our findings and previous publications is encouraging for our understanding of the evolution of atmospheric OA.
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Paciga, Andrea, Eleni Karnezi, Evangelia Kostenidou, Lea Hildebrandt, Magda Psichoudaki, Gabriella J. Engelhart, Byong-Hyoek Lee, et al. "Volatility of organic aerosol and its components in the megacity of Paris." Atmospheric Chemistry and Physics 16, no. 4 (February 23, 2016): 2013–23. http://dx.doi.org/10.5194/acp-16-2013-2016.
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Abstract. Using a mass transfer model and the volatility basis set, we estimate the volatility distribution for the organic aerosol (OA) components during summer and winter in Paris, France as part of the collaborative project MEGAPOLI. The concentrations of the OA components as a function of temperature were measured combining data from a thermodenuder and an aerosol mass spectrometer (AMS) with Positive Matrix Factorization (PMF) analysis. The hydrocarbon-like organic aerosol (HOA) had similar volatility distributions for the summer and winter campaigns with half of the material in the saturation concentration bin of 10 µg m−3 and another 35–40 % consisting of low and extremely low volatility organic compounds (LVOCs with effective saturation concentrations C* of 10−3–0.1 µg m−3 and ELVOCs C* less or equal than 10−4 µg m−3, respectively). The winter cooking OA (COA) was more than an order of magnitude less volatile than the summer COA. The low-volatility oxygenated OA (LV-OOA) factor detected in the summer had the lowest volatility of all the derived factors and consisted almost exclusively of ELVOCs. The volatility for the semi-volatile oxygenated OA (SV-OOA) was significantly higher than that of the LV-OOA, containing both semi-volatile organic components (SVOCs with C* in the 1–100 µg m−3 range) and LVOCs. The oxygenated OA (OOA) factor in winter consisted of SVOCs (45 %), LVOCs (25 %) and ELVOCs (30 %). The volatility of marine OA (MOA) was higher than that of the other factors containing around 60 % SVOCs. The biomass burning OA (BBOA) factor contained components with a wide range of volatilities with significant contributions from both SVOCs (50 %) and LVOCs (30 %). Finally, combining the bulk average O : C ratios and volatility distributions of the various factors, our results are placed into the two-dimensional volatility basis set (2D-VBS) framework. The OA factors cover a broad spectrum of volatilities with no direct link between the average volatility and average O : C of the OA components.
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Sukmana, Samuel Yohanes. "Pengaruh share repurchase dan likuiditas terhadap volatilitas saham." Jurnal Manajemen Bisnis dan Kewirausahaan 7, no. 5 (September 29, 2023): 1194–203. http://dx.doi.org/10.24912/jmbk.v7i5.23995.
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FSA oversees capital market regulations to maintain the stability of the Indonesian capital market, especially during unstable conditions, through a share repurchase policy. This study aims to analyze the relationship between share repurchase and liquidity on stock volatility. The research sample was selected using a purposive sampling technique, and 137 samples met the criteria. Data analysis was performed using multiple linear regression. The results of this study indicate that share repurchase has a significant negative effect on stock volatility, and liquidity has a significant positive effect on stock volatility. These findings indicate that share repurchasing can be considered for companies to reduce stock volatility in the short term, and they need to pay attention to stock liquidity conditions as a factor affecting stock price fluctuations. OJK mengatur regulasi pasar modal untuk menjaga stabilitas pasar modal Indonesia terutama pada saat kondisi berfluktuasi, salah satunya melalui kebijakan share repurchase. Penelitian ini bertujuan untuk menganalisis hubungan share repurchase dan likuiditas terhadap volatilitas saham. Sampel penelitian dipilih dengan teknik purposive sampling dan terdapat 137 sampel yang memenuhi kriteria. Analisis data menggunakan regresi linear berganda. Hasil penelitian ini menunjukkan bahwa share repurchase berpengaruh negatif secara signifikan terhadap volatilitas saham dan likuiditas berpengaruh positif secara signifikan terhadap volatilitas saham. Temuan ini mengindikasikan bahwa share repurchase dapat dijadikan pertimbangan bagi perusahaan untuk upaya meredam volatilitas saham dalam jangka pendek, serta perlu memperhatikan kondisi likuiditas saham sebagai faktor yang mempengaruhi fluktuasi harga saham.