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50 results for “Volatility”
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Research ArticleOpen accessEvery word in the titleThe Gaussianity Evaluations of Malaysian Stock Return VolatilityChin Wen CheongWe study the distribution of standardized returns by using various frequencies data. The empirical standardized returns are obtained by using the unobserved and observable daily volatility. Our empirical results evidence the realized-standardized returns follow nearest to a Gaussian distribution. On the other hand, the standardized returns using daily closing and range-based data are able to reduce but not fully eliminate … …American Journal of Applied Sciences, Vol. 5, Issue 2 · 28 Feb 2008 · 7,078 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleA Generalized Discrete-Time Long Memory Volatility Model for Financial Stock ExchangeChin Wen CheongWe proposed a simple way to combine a few long memory models in financial market volatility modeling using daily, range and high frequency data. This model was able to fit the return, range of daily return or realized volatility under a parametric heavy-tailed distribution. Model was flexible to include additional volatility information as the contemporaneous variables. Empirical results found that … …American Journal of Applied Sciences, Vol. 4, Issue 12 · 31 Dec 2007 · 6,869 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleModelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using Garch ModelsFrimpong Joseph Magnus, Oteng-Abayie Eric FosuThis paper models and forecasts volatility (conditional variance) on the Ghana Stock Exchange using a random walk (RW), GARCH(1,1), EGARCH(1,1), and TGARCH(1,1) models. The unique ‘three days a week’ Databank Stock Index (DSI) was used to study the dynamics of the Ghana stock market volatility over a 10-year period. The competing volatility models were estimated and their specification and forecast … …American Journal of Applied Sciences, Vol. 3, Issue 10 · 31 Oct 2006 · 7,551 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleVolatility-Aware Hybrid Memory Architecture for Real-Time and Persistent Big Data SystemsMohammed Elhabib Maicha, Mohammed Redha BouzidiAs data volumes and real-time analytics demands grow, DRAM only memory systems struggle to scale cost-efficiently and sustainably. We present VA-HMA, a volatility-aware hybrid memory architecture that combines DRAM and Non-Volatile Memory (NVM) with a lightweight, machine-learned placement layer and endurance-aware fault tolerance. VA-HMA continuously monitors access patterns and applies a Random Forest–based predictor to guide batched page migrations and … …Journal of Computer Science, Vol. 22, Issue 6 · 27 Jun 2026 · 1,214 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleSentiment Identification on Tweets to Forecast Cryptocurrency’s VolatilityRafael Calixto Ferreira de Araújo, Alex Sandro Roschildt Pinto, Mauri FerrandinCryptocurrencies have had a huge presence on social media since their creation. In current days, the constant increase of the mass of data produced by this environment has attracted several researchers to try to identify patterns with the potential to allow identification of the volatility in the crypto market before it happens. This approach involves the concept of the wisdom … …Journal of Computer Science, Vol. 19, Issue 5 · 3 May 2023 · 5,503 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleImperfectly-Rational Agents, Volatility of Reserves and Customer MarketsPartha Gangopadhyay, Renu GangopadhyayPotential customers in customer markets are typically dichotomised into actual and prospective customers. If the firm holds its price firm, the actual customers hold their reserves/reservation price firm and repeat their purchases. On the other hand, prospective customers’ reserves may be volatile due to their non-equilibrium market experience. One may regard a prospective buyer with a volatile reserve as imperfectly … …American Journal of Applied Sciences, Vol. 2, Issue 13 · 11 Dec 2005 · 8,206 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleExpecting the Unexpected Macroeconomic Volatility and Climate PolicyGajendra Singh ChauhanProblem statement: Analysts have been comparing a policy scenario with a baseline scenario of future economic conditions without the policy, to estimate the emissions reductions and costs of a climate policy. Both scenarios required assumptions about the future course of numerous factors such as population growth, technical change and non-climate policies like taxes. Approach: The purpose of this study was … …American Journal of Economics and Business Administration, Vol. 1, Issue 3 · 30 Sep 2009 · 7,493 accessesView PDFCite
Research ArticleOpen accessIn the keywordsStudy of the Thermodynamic Equilibrium of Fragrance Mixtures, Limonene, Linalool and Geraniol, using the Unifac and Cosmo-Sac Models and the Estimation of their Combined Properties in Binary, Ternary and Quaternary MixturesLavínia Mota Cristianismo Silva, José Izaquiel Santos da Silva, Rogério Alexandre Alves de Melo, Edilailsa Januário de MeloPerfume is a non-ideal complex mixture of chemicals originating from the extraction of essential oils and these oils are volatile components extracted from plants, some animals, or even synthesized. For this reason, to compose a fragrance, there are countless possibilities to combine one element and another, which makes the process slow and expensive. Therefore, in this study, we will combine … …American Journal of Engineering and Applied Sciences, Vol. 15, Issue 2 · 14 Jun 2022 · 7,454 accessesView PDFCite
Research ArticleOpen accessIn the keywordsComparative Analysis of the Artificial Neural Networks Options Pricing Model Under Constant and Time-Variant VolatilitiesHanningtone Meshack Simiyu, Anthony Gichuhi Waititu, Jane Aduda AkinyiOption pricing using artificial neural networks (ANN) model while relaxing the assumption of constant volatility still remains a challenge. The conventional practice for pure ANN models has been to either model volatility using the very ANN model and have the model output fed as an input to the ANN option pricing model, or to make allowances for a large number … …Journal of Mathematics and Statistics, Vol. 15, Issue 1 · 20 Jul 2019 · 7,010 accessesView PDFCite
Research ArticleOpen accessIn the keywordsComparing the Empirical and the Theoretical Probability Density of Return in which Variance Obeying Ornstein-Uhlenbeck Process at Indonesian Stock Exchange IDXDwi Satya Palupi, Eduardus Tandelilin, Arief Hermanto, Muhammad Farchani RosyidThe distribution of the probability density of a return index with stochastic volatility has been calculated. Here the stock index is assumed to follow geometric Brownian motion, while the variance is assumed to obey Ornstein-Uhlenbeck process as in Heston model. The distribution of the probability density of the return which is obtained by solving the Fokker-Planck equation of two dimensional … …American Journal of Applied Sciences, Vol. 14, Issue 9 · 17 May 2017 · 7,625 accessesView PDFCite