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29.940  Articles
1 of 2.994 pages  |  10  records  |  more records»
The purpose of this paper is to model and forecast volatility of returns for corn futures prices using GARCH models. Non-linear models from the GARCH family, specifically TGARCH and EGARCH are employed to assess the role of asymmetries and to analyze the ... see more

 Risk analysis in the financial market requires the correct evaluation of volatility in terms of both prices and asset returns. Disturbances in quality of information, the economic and political situation and investment speculations cause incredible ... see more

In this paper, we compare semiparametric additive models with GARCH models in terms of their capability to estimate and forecast volatility during crisis periods. Our Monte Carlo studies indicate a better performance for GARCH models when their functional... see more

AbstractOrientation: Modelling of international tourist arrivals’ volatility is vital for marketing, planning, policy formulation and investment purposes among others. Symmetric and asymmetric tourism volatility models for years 2000–2017 were fitted... see more

This paper is concerned with the estimation, forecasting and evaluation of Value-at-Risk (VaR) of Karachi Stock Exchange before and after the global financial crisis of 2008 using Bayesian method. The generalized autoregressive conditional heteroscedastic... see more

In this paper the asymptotic distribution of the absolute residual autocorrelations from generalized autoregressive conditional heteroscedastic (GARCH) models is derived. The correct asymptotic standard errors for the absolute residual autocorrelations ar... see more

Forecasting stock market returns volatility is a challenging task that has attracted the attention of market practitioners, regulators and academics in recent years. This paper proposes a Fuzzy GJR-GARCH model to forecast the volatility of S&P 500 and Ibo... see more

Cocoa plays an important role in generating Indonesian foreign exchange revenues since it is one of Indonesia’s primary commodity exports. Meanwhile, as part of plantation commodity, cocoa’s price also has volatility nature. This study has two aims: to ex... see more

Agricultural sector plays an important role in Indonesia’s economy; especially for the plantation sub-sector contributing high revenues to Indonesia’sexporting sectors. The primary agricultural commodities in Indonesian export discussed in this study woul... see more

1 of 2.994 pages  |  10  records  |  more records»