Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 24 for “"EGARCH"”.
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Forecasting Equity Volatility Dynamics with Markov-Switching EGARCH Models
… US equity volatility with a Markov-Switching EGARCH model with one high and one low volatility regime. We show that this model contains similar information about future volatility as the VIX Index. It also outperforms single-regime GARCH and EGARCH models. Moreover, the model’s 1-day ahead …
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Pronóstico de volatilidad de la TRM mediante un modelo híbrido LSTM-GARCH
… de modelos de series de tiempo GARCH, EGARCH y EWMA para la TRM, de acuerdo a la metodología de Kim y col. 2018. Tanto los modelos GARCH como el modelo LSTM se estiman con datos históricos desde el año 2008 hasta junio de 2018, y los pronósticos generados se contrastan con datos desde …
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Volatilidade implícita versus volatilidade estatística : uma avaliação para o mercado brasileiro a partir dos dados de opções e ações da Telemar S.A.
… média móvel ponderada igualmente, modelo GARCH, EGARCH e FIGARCH. Os resultados das regressões do conteúdo de informação revelam que a volatilidade implícita ponderada possui substancial quantidade de informações sobre a volatilidade um passo à frente, pois apresenta o maior R2 ajustado de todas …
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Essays on the Modelling of S&P 500 Volatility
… the performance of asymmetric power ARCH and EGARCH models; 3) to evaluate the forecasting performance of time-series and options-based variance swap valuation models. The observed market anomalies in the term-structure of implied volatility of S&P 500 futures options are investigated between …
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An Investigation of Overreaction via Implied Volatility and a Comparison between Tracking Stocks and Carve-Outs as a Restructuring Choice
… and Heynen, Kemna, and Vorst's (1994) GARCH and EGARCH methods, I compare the theoretical and empirical measures of reaction of longterm options in respect to short-term options for the growth and the value portfolios, which are separately classified by price-to-book and price-to-earning ratios. …
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Pricing-to-market for UK export sector
… Least Square (OLS). For this reason, both EGARCH and GJR-EGARCH (hereafter GJR) estimation methods are used to estimate both a standard and an Error Correction model (ECM) of PTM. The results indicate that PTM behaviour varies across UK sectors. The variables used in the PTM models are …
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Essays On Oil Price Volatility And Irreversible Investment
… Volatility is modeled by constructing GARCH, EGARCH, and GJR-GARCH forecasts based on monthly real oil prices, and realized volatility from 5-minute intraday returns of oil futures prices. Using a duration model, I show that oil price volatility generally has a negative relationship with the …
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A machine learning hybrid approach to forecasting equity returns volatility: A South African perspective.
… the following models as suitable: GARCH(G), EGARCH(E) and TGARCH(T). The study then applies the base econometric models to LSTM and produces seven hybrid models, namely G-LSTM, E-LSTM, T-LSTM, GE-LSTM, GT-LSTM, ET-LSTM and GET-LSTM. Additionally, the averaging of GARCH, EGARCH and TGARCH …
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Short-Term, Long-Term, and Efficiency Impacts of Recent Mergers and Acquisitions in the U.S. Banking Industry
… common to the banking industry. The second is an EGARCH (1,1) model that adjusts for the violated regression assumptions of the traditional market model event study. Namely, it controls for the linearity assumption, heteroskedasticity, and the correlation in the error term. The results of both …
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Modelling of volatility of stock prices using GARCH models & its importance in portfolio construction
… GARCH and a few other variations such as the EGARCH, TARCH and PARCH in modelling volatility in monthly returns of stocks traded on the Johannesburg Stock Exchange. This is further used to investigate the importance of GARCH modelling in portfolio construction using Improved Sharpe Single …
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Topics in Macro Finance
… world where the true model can be depicted by an EGARCH(1,2) formulation. Turning to chapter three, the relationship between equity returns and inflation (specifically, if equities are a hedge against inflation) is explored using long-term historical data for the US, the UK, Germany and Japan. …
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An Investigation of the Macroeconomic and Monetary Effects of Dollarization in Eritrea
… Conditionally Heteroscedasticity in mean (EGARCH) model is applied over real official exchange rate and on both nominal as well as real black market exchange rates. Dollarization measured by a hard currency index is then augmented in the variance equation of EGARCH-M (1, 1). The results …
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Essays on investment planning in electricity generating capacity
… Autoregressive Conditional Heteroskedastic (EGARCH) model. The uncertainty of the long-term variability of natural gas prices is based on the long-term natural gas prices scenarios of the National Energy Modeling System of the Energy Information Administration. Equipped with a methodology to …
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Exchange rate and interest rate exposure of UK non-financial firms and industries
… Least Square (OLS) methodology, the AR(I)EGARCH-M model was subsequently used for the estimation. The results indicated that the stock returns of UK firms and industries were more affected by long-term interest rate risk than exchange rate risk (Trade weighted index, US$/£ JP¥/£, ECU/£ and …
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Essays on Conditional Heteroscedastic Time Series Models with Asymmetry, Long memory, and Structural Changes
… Finally, a multiplicative component process (MF)2EGARCH that models the conditional variance as the product of a short-term volatility component, modeled as an exponential GARCH (EGARCH) process and a long-term component, is introduced. Overall, the proposed models demonstrate superior performance …
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Modelling spot prices, risk management, and investment strategies for the energy markets
… volatility modelled as a GARCH and an EGARCH process. The aforementioned modelling approach is also evaluated in terms of its ability to quantify energy spot price risk by accurately calculating Value-at-Risk (VaR) and Expected Shortfall (ES) measures. A number of commonly used VaR …
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Impact of oil prices on stock market performance
… employs the impulse response function, EGARCH and Markov switching models. The thesis concludes that the relationship between oil prices and stock market performance is time-varying, asymmetrical, heterogeneous and complex as several sector or country-specific factors drive the …
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Essays on Liquidity Risk and Asset Pricing
… the cross-section of expected returns. I use an EGARCH model to estimate the forecasted idiosyncratic volatility (FIVOL) and find that this estimate is not affected by the microstructure biases embodied by bid-ask spreads and the percentage of zero returns. I document a positive relation between …
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The Role of Energy in an Energy Constrained Economy
… Using time series models (ARMA, GARCH and EGARCH), the study finds the evidence of negative impact of oil shocks on transportation. This analysis also concludes that transport price volatility has no impact on its average price, and the volatility itself is not explosive but rather bounded. …
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Impacts of Volatility Spillovers, Economic Volatility and Capital Inflows on Mortgage-backed Financial Markets
… ARCH (TARCH) model and the exponential GARCH (EGARCH) model. Volatility spillovers and comovements within REITs subdivisions; REITs with FNM and FRE and other selected financial assets are examined using the multivariate GARCH (MGARCH) model. The second essay investigates factors behind the …
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