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3.582  Articles
1 of 359 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

Volatility forecasting has been of great interest both in academic and professional fields all over the world. However, there is no agreement about the best model to estimatevolatility. New models include measures of skewness, changes of regimes and diffe... see more

The goal of this paper is twofold. First, using five of the most actively traded stocks in the Brazilian financial market, this paper shows that the normality assumption commonly used in the risk management area to describe the distributions of returns st... see more

We examine the ability of three different GARCH-class models, with four innovation distributions, to capture the volatility properties of natural gas futures contracts traded on the New York Mercantile Exchange. We jointly estimate the long-memory process... 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

 
Modeling and forecasting volatility have gained much interest among researchers as the use of volatility became widespread in financial data analysis. Several studies have been carried out to model stock market volatility in various countries. This paper ... see more

Gold is a multifunctional precious metal. Apart from being jewelry, gold is a form of investment. For this reason, the public or investors need to know the estimated daily gold price for transactions for the public or investors who want to invest or also ... see more

This study aims to find out the volatility of the price of chicken eggs and compile a proper forecasting model for the price of chicken eggs in the Traditional and Modern market of Jambi City. The object of the study is the price of chicken eggs in the Tr... 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 359 pages  |  10  records  |  more records»