3 articles for “Multivariate GARCH”

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Research ArticleOpen accessPhrase 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 PDF Cite

Research ArticleOpen accessPhrase 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 PDF Cite

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 PDF Cite