ARCH model

Part 2 of ebook "Economic and financial modelling with EViews: A guide for students and professionals" provides readers with contents including: Chapter 8 - Modelling volatility in finance and economics - ARCH, GARCH and EGARCH models; Chapter 9 - Limited dependent variable models; Chapter 10 - Vector autoregression (VAR) model; Chapter 11 - Panel data analysis; Chapter 12 - Capital asset pricing model (CAPM);...

139p daonhiennhien 03-07-2024 4 2   Download

Part 1 of ebook "Essentials of time series for financial applications" provides readers with contents including: Chapter 1 - Linear regression model; Chapter 2 - Autoregressive moving average (ARMA) models and their practical applications; Chapter 3 - Vector autoregressive moving average (VARMA) models; Chapter 4 - Unit roots and cointegration; Chapter 5 - Single-factor conditionally heteroskedastic models, ARCH and GARCH;...

244p daonhiennhien 03-07-2024 3 1   Download

A truss model supplementing the concrete contribution is introduced in this paper to predict the shear strength of concrete beams reinforced with various types of FRP bars. The contributions from truss and direct strut mechanisms are considered in the analytical model. The truss model which has struts at various angles considering concrete contribution is derived in this paper.

13p viwalton 02-07-2024 2 1   Download

Ebook "Incompetency and competency training: Improving executive skills in sensemaking, framing issues, and making choices" offers an early workbench model of incompetency training theory which proposes that executives and associates in firms, academia, and government organizations consciously as well as unknowingly offer incompetency training in many contexts.

287p giangdongdinh 30-05-2024 3 2   Download

The aim of this study was to build a price model for premium and medium rice in South Sumatra Province, being a major centre for production in Indonesia. This was estimated using the ARCH/GARCH model, based on the weekly data obtained between March 2016 and July 2019. The results showed the occurrence of price volatility for premium and medium variety, despite the polity implementation by government.

10p longtimenosee06 27-03-2024 3 2   Download

Tensegrity is a structural system constructed of tensile cables and compressive bars. This thesis proposes several general methods for creating tensegrity structures. The author has developed new methods for creating specific tensegrity cells and the corresponding computer code. Furthermore, the author has constructed various physical models to validate the methods. A proposal for an observation tower on top of the Eureka building in Melbourne has also been devised by the author.

88p runthenight07 01-03-2023 2 2   Download

In many areas, poor ground conditions are a common hindrance to the construction of structures over soft ground. To deal with that problem, the geosynthetic reinforced pile-supported embankment has been widely used over recent years to support infrastructure due to the benefits for construction such as low cost and time reduction.

5p vivacation2711 23-10-2021 22 2   Download

(BQ) The following will be discussed in this part: Random regressors and moment based estimation, simultaneous equations models, regression with time-series data: nonstationary variables, vector error correction and vector autoregressive models, time-varying volatility and ARCH models, panel data models, qualitative and limited dependent variable models, review of math essentials.

293p nanhankhuoctai5 01-06-2020 11 3   Download

This paper studies the volatility of Maersk’s stock return series. Data is collected for the period of more than 16 years, with more than 4000 observations obtained to secure the stability of model estimation. It is worth noticed that the largest volatility occurs during the global finance crisis. The author finds that ARCH effects exist in the series. Thus, GARCH models are employed for further estimation. While GARCH (1,1) helps remove all ARCH effects of the process, TGARCH (1,1) suggests that asymmetric effects exist in the series.

5p quenchua5 17-05-2020 21 0   Download

Agricultural prices variation analysis is essential for the formulation of public policies and business decisions. Considering the strategic importance of olive oil for producers and consumers alike, as well as its potential economic and social benefits, this study aims to quantify the volatility of olive oil prices. The models are estimated using monthly data of olive oil prices (from January 1980 to February 2017) that was collected from IMF statistics. ARCH and GARCH models were used to estimate price volatility.

6p partimesinhvien 13-05-2020 33 0   Download

This paper aims to evaluate the effect of the January 25 revolution on stock performance in the Egyptian market during 2010–2012 by analyzing its effects on trading volume, market return fluctuation, and closing price. These variables are analyzed pre- and post-January 25 revolution using the Descriptive statistics group unit root test, cointegrating equation model, GARCH model, and ARCH model.

9p viankara2711 04-12-2019 14 0   Download

The study was conducted to forecast the price of black pepper in one of the major markets of Karnataka state as the state ranks first position in production of pepper in India. The Gonikoppal market in Kodagu district was selected purposively on the basis of highest area and production in the state. The monthly prices of black pepper in Gonikoppal market were collected from the Karnataka State Agricultural Marketing Board, Bangalore, Karnataka state for the year 2008-09 to 2017-18.

11p nguaconbaynhay1 04-12-2019 23 0   Download

The teleost fish medaka (Oryzias latipes) is currently used by laboratories worldwide as a model for many human diseases, including bone diseases. Our research group focuses on a medaka model for osteoporosis. To characterize the bone indexes of diseased animals, the bone development indexes of healthy wild-type fish are required for comparative analysis. Thus, this study examined the developmental and bone development indexes of wild-type medaka larvae at 11 and 16 days of age, the two developmental stages selected for the analysis of diseased patterns in osteoporosis-induced animals.

7p caygaocaolon1 13-11-2019 14 1   Download

This study aims to measure the volatility in asset prices of listed companies in the Vietnam stock market. The authors use models such as AR, MA and ARIMA combined with ARCH and GARCH to estimate value at risk (VaR) and the results generate relatively accurate estimates.

17p viartemis2711 22-10-2019 24 2   Download

The paper presents an econometric approach based on time series models AR, MA and ARMA combined with ARCH, GARCH and developed GARCH models to forecast and quantify market risk via VaR measure for market portfolio (VN-Index, thereby offering some technical conclusions about characteristics of the VN-Index and suggestions for investors about a flexible and proactive risk management based on VaR measure for their portfolios.

9p danhnguyentuongvi27 19-12-2018 29 1   Download

In the present work the ultimate failure load and the collapse mechanism of a stone arch bridge are estimated by the usage of (a) a multi - part elastic model with unilateral contact frictional interfaces and (b) a continuous damage model. According to the contact model, contact interfaces simulating potential cracks are considered and their opening or sliding indicates crack initiation.

6p thienthanquydu 23-10-2018 21 0   Download

This chapter’s objectives are to: Examine the so-called stylized facts concerning the properties of economic timeseries data, introduce the basic ARCH and GARCH models, show how ARCH and GARCH models have been used to estimate inflation rate volatility,...

80p nomoney17 04-07-2017 48 3   Download

The main contents of the lecture consist of 20 chapter: Review of statistics, least squares estimation, regression diagnostics, asymptotic results on OLS, index models, testing capm and multifactor models, time series analysis, predicting asset returns, maximum likelihood estimation, ARCH and GARCH,...

360p nomoney7 04-04-2017 34 2   Download

Chapter 9 - Modelling volatility and correlation. In this chapter, you will learn how to: Discuss the features of data that motivate the use of GARCH models, explain how conditional volatility models are estimated, test for ‘ARCH-effects’ in time series data, produce forecasts from GARCH models, contrast various models from the GARCH family,...

85p estupendo3 18-08-2016 53 3   Download

Integrase (IN) is the retroviral enzyme responsible for the integration of the DNA copy of the retroviral genome into the host cellDNA. TheC-terminal domainof INis involved in DNA binding and enzyme multimerization. We previ-ously performed single amino acid substitutions in the C-terminal domain of the avian leukemia and sarcoma vir-uses (ALSV) IN [Moreauet al. (2002). Arch. Virol.147, 1761–1778].

13p fptmusic 12-04-2013 38 3   Download