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   Articles with "garch" as a keyword



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Forecasting the daily time - varying beta of European Banks during the crisis period: comparison between GARCH models and the Kalman Filter.

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recommendations! Published in 2017 at "Journal of Forecasting"

DOI: 10.1002/for.2442

Abstract: This intention of this paper is to empirically forecast the daily betas of a few European banks by means of four generalized autoregressive conditional heteroscedasticity (GARCH) models and the Kalman filter method during the pre-global… read more here.

Keywords: crisis; kalman filter; garch; crisis period ... See more keywords
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On the computation of hedging strategies in affine GARCH models

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recommendations! Published in 2021 at "Journal of Futures Markets"

DOI: 10.1002/fut.22187

Abstract: This paper discusses the computation of hedging strategies under affine Gaussian GARCH dynamics. The risk-minimization hedging strategy is derived in closed-form and related to minimum variance delta hedging. Several numerical experiments are conducted to investigate… read more here.

Keywords: garch; hedging strategies; strategies affine; computation hedging ... See more keywords
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Markov switching asymmetric GARCH model: stability and forecasting

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recommendations! Published in 2020 at "Statistical Papers"

DOI: 10.1007/s00362-018-0992-2

Abstract: A new Markov switching asymmetric GARCH model is proposed where each state follows the smooth transition GARCH model, represented by Lubrano (Recherches Economiques de Louvain 67:257–287, 2001 ), that follows a logistic smooth transition structure… read more here.

Keywords: garch; switching asymmetric; garch model; asymmetric garch ... See more keywords
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Value-at-risk forecasts by dynamic spatial panel GJR-GARCH model for international stock indices portfolio

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recommendations! Published in 2018 at "Soft Computing"

DOI: 10.1007/s00500-017-2979-7

Abstract: To provide accurate value-at-risk (VaR) forecasts for the returns of international stock indices portfolio, this paper proposes a dynamic spatial panel with generalized autoregressive conditional heteroscedastic model (DSP-GJR-GARCH). The proposed model considers the spatiotemporal dependence… read more here.

Keywords: gjr garch; model; dynamic spatial; garch ... See more keywords
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Dynamic hedging with futures: a copula-based GARCH model with high-frequency data

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recommendations! Published in 2018 at "Review of Derivatives Research"

DOI: 10.1007/s11147-018-9142-1

Abstract: Modeling the joint distribution of spot and futures returns is crucial for establishing optimal hedging strategies. This paper proposes a new class of dynamic copula-GARCH models that exploits information from high-frequency data for hedge ratio… read more here.

Keywords: high frequency; frequency data; model; garch ... See more keywords
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Integration of RNN with GARCH refined by whale optimization algorithm for yield forecasting: a hybrid machine learning approach

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recommendations! Published in 2020 at "Journal of Ambient Intelligence and Humanized Computing"

DOI: 10.1007/s12652-020-01922-2

Abstract: Forecasting yield is a challenging task in all agricultural crops. So, it is imperative to develop a machine learning hybrid model with available data for yield forecasting. The main objective of this research is to… read more here.

Keywords: machine learning; yield; optimization algorithm; garch ... See more keywords
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Kurtosis analysis in GARCH models with Gram–Charlier-like innovations

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recommendations! Published in 2019 at "Economics Letters"

DOI: 10.1016/j.econlet.2019.108552

Abstract: Abstract The approach based on polynomially-modified distributions, known as Gram–Charlier-like (GCl) expansions, has been proven effective to account for both excess kurtosis and skewness of financial data. In this paper, we examine GARCH models with… read more here.

Keywords: charlier like; kurtosis analysis; gram charlier; garch ... See more keywords
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Analytic moments for GJR-GARCH (1, 1) processes

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recommendations! Published in 2021 at "International Journal of Forecasting"

DOI: 10.1016/j.ijforecast.2020.03.005

Abstract: Abstract For a GJR-GARCH(1, 1) specification with a generic innovation distribution we derive analytic expressions for the first four conditional moments of the forward and aggregated returns and variances. Moments for the most commonly used… read more here.

Keywords: gjr garch; moments gjr; garch processes; analytic moments ... See more keywords
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A new GARCH model with higher moments for stock return predictability

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recommendations! Published in 2018 at "Journal of International Financial Markets, Institutions and Money"

DOI: 10.1016/j.intfin.2018.02.016

Abstract: The main purpose of the paper is to propose a new GARCH-SK predictive regression model that accommodates higher order moments (skewness and kurtosis) in testing the null hypothesis of no predictability. Using an extensive and… read more here.

Keywords: predictability; garch model; new garch; higher moments ... See more keywords
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Pronóstico de precios de petróleo: una comparación entre modelos garch y redes neuronales diferenciales

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recommendations! Published in 2017 at "Investigacion Economica"

DOI: 10.1016/j.inveco.2017.06.002

Abstract: E l objetivo del presente trabajo es mostrar las ventajas que tiene el utilizar a las redes neuronales diferenciales (RND) como un metodo alternativo eficiente en el calculo de pronosticos de precios futuros de activos… read more here.

Keywords: del; redes neuronales; modelos garch; neuronales diferenciales ... See more keywords
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On change point test for ARMA–GARCH models: Bootstrap approach

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recommendations! Published in 2018 at "Journal of The Korean Statistical Society"

DOI: 10.1016/j.jkss.2017.11.001

Abstract: Abstract The problem of testing for a parameter change has been a core issue in time series analysis. It is well known that the estimates-based CUSUM test often suffers from severe size distortions in general… read more here.

Keywords: test arma; change; arma garch; test ... See more keywords