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2.307  Articles
1 of 232 pages  |  10  records  |  more records»
Indonesia's economy has been in its worst period. At that time, economic growth was below zero percent. One of the reasons is the high volatility of exchange rates in 1997-1998 when the exchange rate regime was transferred from managed floating to free-fl... see more

The impulsiveness in investments price is volatility and its meticulous estimation and forecasting is valuable to investors in the risk management of their portfolio. Earlier volatility of an asset was assumed to be constant. However, the pioneering studi... see more

What investors often wish to insure is that the maximum possible loss of their portfolios falling below a certain value. Namely, the maximum possible loss that a portfolio will lose under normal market fluctuations, with a given confidence level, over a c... see more

Volatility and correlation are important metrics of risk evaluation for financial markets worldwide. The latter have shown that these tools are varying over time, thus, they require an appropriate estimation models to adequately capture their dynamics. Mu... see more

Penelitian ini membahas tentang pembentukan portofolio optimal menggunakan model Mean Absolute Deviation (MAD) dan model Conditional Mean Variance (CMV). Pada model MAD risiko portofolio diukur menggunakan rata–rata deviasi standar sehingga portofolio opt... see more

This study assesses the Value at Risk (VaR) and Expected Shortfall (ES) methods in gauging exchange rate risk in PT Telkom Indonesia Tbk, using historical Bank Indonesia closing rates USD/IDR and JPY/IDR from January 2022 - December 2022. Results demonstr... see more

This paper aims to investigate the effect of Initial Public Offerings (IPOs) on stock market volatility in the United States using the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model. The study utilizes daily data from January 2020... see more
IPOs |  US |  S& | P500 |  NYSE |  Volatility |  ARCH/GARCH |  E-GARCH
A volatilidade tem se mostrado como um dos mais relevantes conceitos nos estudos de finanças, pois está associada diretamente ao conceito de risco. A volatilidade pode ser influenciada por diversos fatores, por exemplo, eventos corporativos. Entre esses e... see more

The stock market is continuously changing with uncertainties that can create risks. Prompt information dissemination and rapid capital flow will cause stock price fluctuations, causing volatility in stock prices. This research examines the behavior of vol... see more

1 of 232 pages  |  10  records  |  more records»