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6  Articles
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La presente investigación intenta desarrollar una variante del modelo GARCH para el índice del mercado accionario ecuatoriano Ecuindex. Los datos son tomados diariamente y cubren un horizonte temporal de más de 13 años. Debido a que la suma de los parámet... see more

La presente investigación intenta desarrollar una variante del modelo GARCH para el índice del mercado accionario ecuatoriano Ecuindex. Los datos son tomados diariamente y cubren un horizonte temporal de más de 13 años. Debido a que la suma de los parámet... see more

In this study, impact of the real effective exchange rate (REER) and its volatility (REERV) on Turkey's agricultural foreign trade was investigated. 25importantcountries in agricultural trade of Turkey and 1990-2012 periods were examined, and panel data a... see more

Symmetric and asymmetric GARCH models-GARCH (1,1); PARCH(1;1); EGARCH(1,1,); TARCH(1,1) and IGARCH(1,1)- were used to examine stylized facts of daily USD/UGX return series from September 1st, 2005 to August 30th, 2018. Modeling and forecasting were perfor... see more

Understanding the impact of external shocks on the stock market return and volatility is crucial for market participants as volatility is synonymous with risk. This paper provides comprehensive evidence on the spillover effects of the change of monetary p... see more

There are different methods to measure the volatility regarding clustering in financial series, in which the assumption of the error distribution determines the structure of the log-likelihood function. This paper analyses the flexibility of ARCH models t... see more
TRM |  ARCH |  GARCH |  IGARCH |  EGARCH |  TARCH
1 of 2 pages  |  10  records  |  more records»