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89  Articles
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En este artículo, que constituye la segunda de dos entregas, se hace una aplicación del modelo asimétrico EGARCH para estudiar la dinámica del índice general de la bolsa de valores de Colombia (IGBC) y de su volatilidad. En la primera entrega se hizo u... see more

En la modelación de las volatilidades con cambios súbitos, es imperativo usar modelos que permitan describir y analizar el dinamismo de la volatilidad, ya que los inversionistas, entre otras cosas, pueden estar interesados en estimar la tasa de retorno... see more

The Beta-Skew-t-EGARCH model was recently proposed in literature to model the volatility of financial returns. The inferences over the parameters of the model are based on maximum likelihood method. These estimators have good asymptotic properties, howev... see more

This study examined the effect of sectoral output volatility on economic growth and the determinants of economic growth in the Ethiopian economy. The study used annual time series data spanning from 1981 to 2018 and included capital stock, worki... see more

This study aims to analyze the transmissions of volatility spillovers from China, Singapore, South Korea, and Japan stock markets to the Indonesian stock market and prove an asymmetric effect on spillover volatility. The data retrieved from the stock inde... see more

This paper aims to study characteristics of exchange rate volatility of (EUR/USD) and (GBP/USD) using daily closing prices for two time periods, sub-period form (1 January 2015 until 15 may 2020) and full period from(1 January 2010 until 15 may 2020). Th... see more

Studi ini membandingkan kinerja pencocokan model volatilitas GARCH(1,1) dan EGARCH(1,1) pada return kurs dan saham. Model mengasumsikan empat distribusi berbeda untuk error dari return: Normal, Skew-Normal (SN), Alpha-Skew Normal (ASN), dan Student-t. Dat... see more

An extraordinary event that causes shock can affect volatility which causes asymmetric variance and error or commonly called asimetric shock / effect. This paper aims to analyze the volatility of stock returns of PT ANTAM (Persero) Tbk and PT Adaro Energy... see more

Macroeconomic are important variables influencing volatility in the bond market. Some of the challenges faced such as default risk, liquidity risk, interest rate risk, inflation risk, and exchange rate risk. This study is aimed at examining asymmetric vol... see more

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