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.
Results
Showing 1 to 20 of 48 for “"GARCH Model"”.
-
Estimation of the linkage matrix in O-GARCH model and GO-GARCH model
… methods for the factor loading matrix in modeling multivariate volatility processes. The key step of the methods is based on the weighted scatter estimators, which does not involve optimizing any objective function and was embedded with robust estimation properties. The method can …
-
Risk neutral measures and GARCH model calibration
Empirical studies have shown that GARCH models can be successfully used to describe option prices. Pricing such option contracts requires the risk neutral return dynamics of underlying asset. Since under the GARCH framework the market is incomplete, there is more than one risk neutral measure. In …
-
Optimization Of The GARCH Model Parameters Using A Genetic Algorithm
… bunching. Standard regression analysis models cannot capture changing volatilities, potentially leading to erroneous results. The need to more completely model the characteristic volatilities inherent to financial time series eventually led to the creation of the GARCH model. Typical …
-
A multivariate GARCH model for the non-normal behaviour of financial assets
… the dynamic conditional correlation (DCC) model proposed in Engle (2002) to the case of conditional returns supposed to follow an asymmetric multivariate Laplace (AML) distribution as presented in Kotz, Kozubowsky and Podgorski (2003). We prove that maximum likelihood estimator provides …
-
Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution
… of daily returns using a double Markov switching GARCH model with a skewed Student-t error distribution. The model was applied to individual shares obtained from the Johannesburg Stock Exchange (JSE). The Bayesian approach which uses Markov Chain Monte Carlo was used to estimate the unknown …
-
Efficiency and volatility on the Istanbul Stock Exchange
… and in particular the performance of adaptive models relative to the GARCH models. Our main findings can be summarised as follows. First, the hypothesis of normality is rejected, mainly due to excess kurtosis. To explain excess kurtosis, we used an autoregressive conditional heteroskedastic …
-
An Application of Artificial Neural Networks in Forecasting Future Oil Price Return Volatilities
… both direct and inverse of some financial models. This study comprises of four parts. In first two parts, the ANNs are applied to forecast via forward/direct functions the future volatilities of crude oil future prices. In parts three and four, the ANNs are to simulate the inverse functions …
-
Refining Value-at-Risk estimates: An Extreme Value Theory Approach
… Value-at-Risk estimation using (1) Multivariate GARCH Dynamic Conditional Correlation volatility model with skewed Student’s-t distributions, (2) Bayesian GARCH model with Student’s-t distribution, and (3) Bayesian Markov-Switching GJR-GARCH model with skewed Student’s-t distributions, …
-
Three Essays on Empirical Asset Pricing
… of daily stock returns using an extended GARCH model with event-related dummy variables to capture the predictable components of volatility change, such as earnings announcements, macroeconomic announcements, day-of-the-week effects, etc. We examine the out-of-sample forecasting ability …
-
The Impact of USDA Reports on U.S. Dairy Market Volatility
… pricing structure and settlement procedure. An E-GARCH model is used to estimate price volatility with exogenous dummy variables of lagged volume, NDPSR, WASDE, Cold Storage, Dairy Products, and Milk Production. Milk Production had the strongest impact, significantly increasing price volatility in …
-
Extreme Value Theory with an Application to Bank Failures through Contagion
… and (ii) using the extreme value theory (EVT) to model the tail part of the shocks. The external shocks we considered in this study are due to exchange rate and treasury bill rate volatility. Also, an ARMA/GARCH model is used to extract iid residuals for this purpose. In the next step, the …
-
Adaptive Cruise Control and Driver Modeling
… an ACC controller it is suitable to have a model of driver behavior. The approach in the thesis is to use system identification methodology to obtain dynamic models of driver behavior useful for ACC applications. Experiment with seven drivers participating in different traffic situations …
-
The Performance of implied volatility in forecasting future volatility : an analysis of three major equity indices from 2004 to 2010
… markets from 2004 to 2010. Then, we introduce a GARCH(1,1) model and compare in-sample GARCHfitted volatility and implied volatility from 2004 to 2010, as well as out-ofsample GARCH-forecasted volatility and implied volatility from 2005 to 2010, using data on the S&P 500. We find that implied …
-
Impact of investors' mood on European stock markets
… All Share indices and analyse them us- ing ARMA-GARCH model. Our results for Daylight Savings Time change are neither uniform nor statistically significant with one exception. Even though results for Lunar cycles mostly follow expected positive relationship, they also lack statistical …
-
Volatility Modeling Using the Student's t Distribution
… produced a wealth of univariate and multivariate GARCH type models. While the univariate models have been relatively successful in empirical studies, they suffer from a number ofweaknesses, such as unverifiable parameter restrictions, existence of moment conditions and the retention of Normality. …
-
The impact of estimation frequency on Value at Risk (VaR) and Expected Shortfall (ES) forecasts: an empirical study on conditional extreme value models
… involved running the daily returns through the GARCH model, and then extracting the residuals. The second phase involves using the Block Maxima Method, or Peaks over Threshold method to fit the residuals to the Generalized Extreme Value Distribution or the Generalized Pareto Distribution. …
-
Testing for Constancy of Correlation in Autoregressive Conditional Heteroscedasticity (Arch) Models
… of correlation in the multivariate normal model. Following Chesher (1984) and Cox (1983), we focus on deriving a score test of the hypothesis that the variance of the parameter of interest is zero. Here the score test checks the local behavior of the log-likelihood function close to the …
-
A post-crisis investigation in to the performance of GARCH-based historical & analytical value-at-risk on the FTSE
… is an investigation into the performance of GARCH-based VaR models on the South African FTSE/JSE Top 40 Index. Specifically, this paper investigates whether stability has returned to the VaR measure following its poor performance during the latest global financial crisis (2007). GARCH models …
-
The effects of exchange rate volatility on private capital inflows in Zambia,1992-2012
… autoregressive conditional heteroscedasticity (GARCH) model while its effect on private capital inflows to Zambia was captured through the Johansen Maximum Likelihood for Cointegration and Error Correction Model. The findings show that the volatility of the nominal exchange rate exerted …
-
The effects of exchange rate volatility on private capital inflows in Zambia,1992-2012
… autoregressive conditional heteroscedasticity (GARCH) model while its effect on private capital inflows to Zambia was captured through the Johansen Maximum Likelihood for Cointegration and Error Correction Model. The findings show that the volatility of the nominal exchange rate exerted …
Page 1 of 3