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 3 of 3 for “"GJRGARCH"”.
-
Application of GARCH Type Models in Forecasting Value at Risk
… volatility forecasting models: GARCH, TGARCH, GJRGARCH, and IGARCH, and compares the forecasting output of the suggested GARCH-based volatility models. Since the predictive accuracy of Value-at-Risk (VaR) models is crucial for adequate capitalization, we perform backtesting on VaR forecasts and …
-
Sectoral dynamics of financial co-integration between BRICS and developed stock markets
… to December 2017. The study applies the ADCC GJRGARCH model to estimate the time-varying correlations across the nine countries within each sector and across sectors within each country, and assesses the conditional correlation dynamics during each of the phases of the three crisis periods. …
-
L'incidence des différents modèles de simulations sur les facteurs macroéconomiques de l'évaluation immobilière
L’immobilier est une classe d’actifs qui gagne en popularité. Alors que les modèles de prévision sont nombreux, l’évaluation de l’incertitude autour de la prévision moyenne s’appuie généralement sur des modèles traditionnels de simulation. L’objectif de cette étude consiste à comparer la dispersion …