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17 articles for “GARCH”
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Research ArticleOpen accessEvery word in the titleStatistical Size and Power of Eight Normality Tests in Presence of GARCH (1 1) ErrorsJulio César Alonso, Daniela EstradaIn this work, we assess the power and size of eight normality tests underthe assumption that errors follow a GARCH (1, 1) process by using MonteCarlo simulations. Four results stand out. First, the presence of a GARCH(1, 1) process increases the probability of making type I error. Second, Pearsonnormality test is recommended if it is assumed that errors follow a … …Journal of Mathematics and Statistics, Vol. 15, Issue 1 · 11 Feb 2019 · 6,992 accessesView PDFCite
Research ArticleOpen accessEvery word in the titlePrice Volatility of Grains: Relationship with Crude Oil Price Using CCC-Multivariate GARCH ModelAreerat Todsadee, Hiroshi Kameyama, Shoichi ItoAgricultural commodities prices have increased and become significantly more volatile during the past few years periods. The high agricultural commodity prices in recent years have raised the question of whether or not volatility is increasing and leading to more frequent extreme price swings. It is very important to quantify price variability of agricultural products. This paper measures the volatility of … …American Journal of Economics and Business Administration, Vol. 6, Issue 4 · 2 Jan 2015 · 6,640 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleForecasting the Stock Exchange of Thailand uses Day of the Week Effect and Markov Regime Switching GARCHP. Sattayatham, N. Sopipan, B. PremanodeProblem statement: We forecast return and volatility of the Stock Exchange of Thailand (SET) Index. Approach: In this study, we modeled the SET Index returns using mean equation with day of the week effect and autoregressive moving-average. Next we forecast the volatility of the SET Index by using the GARCH-type model and the Markov Regime Switching GARCH (MRS-GARCH) model. Results: … …American Journal of Economics and Business Administration, Vol. 4, Issue 1 · 15 Mar 2012 · 7,865 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleA Study on the Behavior of Volatility in Saudi Arabia Stock Market Using Symmetric and Asymmetric GARCH ModelsAjab Al Freedi, Ahmed Shamiri, Zaidi IsaProblem statement: This study examines several stylized facts (heavy-tailedness, leverage effect and persistence) in volatility of stock price returns exploiting symmetric and asymmetric GARCH family models for Saudi Arabia. Approach: This study is carried out using closing stock market prices over 15 years covering the period 1 January 1994 to 31 March 2009. The sample period is divided into three … …Journal of Mathematics and Statistics, Vol. 8, Issue 1 · 7 Feb 2012 · 7,577 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 titleStock Return, Growth and Inflation in India: Analysis of Stochastic Seasonality, Impulse Response and Multivariate GARCHPanchanan DasThis study analyses the empirical interdependence among asset returns, industrial growth and inflation after controlling for interest rate by considering stochastic seasonality and conditional volatility with monthly time series in India. The HEGY unit root test suggests that industrial growth and inflation experience only stochastic trend and no persistent stochastic behaviour at any other seasonal frequencies, while stock return follows … …American Journal of Applied Sciences, Vol. 18, Issue 1 · 3 May 2021 · 7,344 accessesView PDFCite
Research ArticleOpen accessIn the keywordsEfficiency and Forecast Performance of Commodity Futures MarketsBernardina Algieri, Matthias KalkuhlThe present study empirically investigates market efficiency and the potential factors of inefficiency in the main non-energy commodity futures markets: maize, soybeans and wheat. With efficient markets, futures prices can be used as commodity price forecasts, with inefficient markets futures prices are not able to predict spot prices. Technically, exploring the drivers of inefficiency means to assess the determinants of … …American Journal of Economics and Business Administration, Vol. 11, Issue 1 · 10 Jun 2019 · 8,375 accessesView PDFCite
Research ArticleOpen accessIn the keywordsDAILY CRUDE OIL PRICE FORECASTING MODEL USING ARIMA, GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTIC AND SUPPORT VECTOR MACHINESRana Abdullah Ahmed, Ani Bin ShabriCrude oil price forecasting is gaining increased interest globally. This interest is due mainly to the economic value attached to the product. For this reason, new forecasting methods are proposed in the literature. This paper proposes a novel technique for forecasting crude oil price based on Support Vector Machines (SVM). The study adopts the data on crude oil price of … …American Journal of Applied Sciences, Vol. 11, Issue 3 · 11 Jan 2014 · 8,725 accessesView PDFCite
Research ArticleOpen accessIn the keywordsSuitability of Volatility Models for Forecasting Stock Market Returns: A Study on the Indian National Stock ExchangeTrilochan Tripathy, Luis A. Gil-AlanaProblem statement: Measuring volatility is an important issue for stock market traders. Also, volatility has been used as a proxy for riskiness associated with the asset. This study aims to compare the different volatility models based on how well they model the volatility of the India NSE. Approach: The study has made use of five models which are Historical/Rolling Window … …American Journal of Applied Sciences, Vol. 7, Issue 11 · 8 Nov 2010 · 7,851 accessesView PDFCite
Research ArticleOpen accessIn the keywordsInvestigation of Socially Responsible Investment Markets (SRI) Using Dynamic Conditional Correlation (DCC) Method: Implications for DiversificationGurudeo Anand Tularam, Eduardo Roca, Victor Siew Howe WongProblem statement: Over the last ten years there has been a phenomenal growth in the amount of funds placed in SRI globally estimated to be around US$6.5 trillion while around US$55 billion in the Australian market. Accurate knowledge of correlation of the Australian SRI market with other SRI markets overseas is crucially important for Australian (SRI) investors for international portfolio … …Journal of Mathematics and Statistics, Vol. 6, Issue 4 · 4 Nov 2010 · 16,234 accessesView PDFCite