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179.628  Articles
1 of 17.964 pages  |  10  records  |  more records»
Macroeconomic variables often have an impact on stock price volatility and this is needed especially to determine stock price policies in the future. The approach used to see the extent of the volatility of macroeconomic variables on stock prices is the A... see more

Tulisan ini membahas tentang perbandingan model ARCH (1) dan GARCH (1,1) dengan melihat perilaku kurtosis dan fungsi autokorelasi baik secara analitik maupun menggunakan simulasi. Metode yang digunakan adalah studi literatur. Hasil yang diperoleh menunjuk... see more

Investors having an understanding of investment statistics are important. Especially quantitative tools related to investment risk measurement. Value-at-Risk Adjusted is one of the investment risk measurement tools, which assumes that returns are not norm... see more

Este documento evalúa el comportamiento de varios modelos de volatilidad en estimaciones de un día del valor en riesgo (VaR) de veinticuatro series de retornos de acciones en Colombia con diferentes distribuciones. Al considerar que todas las series de re... see more

Con este trabajo se quiere presentar el soporte teórico de los modelos ARCH y GARCH propuestos por Eng82 y Boll86, desarrollando las demostraciones de media y varianza, condicional y no-condicional a partir de los supuestos hechos por Eng82 y finalmente s... see more

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

The purpose of this research was to compare the accuracy of Black-Scholes Opt ionModel and GARCH opt ion models for Stock opt ion ut ilizing data f rom Ast ra, BCA, Indofoodand Telkom at the Indonesian Stock Exchange. The intraday stock return of Astra, B... 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

1 of 17.964 pages  |  10  records  |  more records»