Multivariate GARCH - Articles - Scientific Research Publishing

Unravelling the Cipher of Indian Rupee’s Volatility: Testing the Forecasting Efficacy of the Rolling Symmetric and Asymmetric GARCH Models (Articles)

Shalini Talwar, Aparna Bhat

Theoretical Economics Letters Vol.8 No.6, April 23, 2018

DOI: 10.4236/tel.2018.86079 832 Downloads 2,145 Views Citations
This article belongs to the Special Issue on Computational Economics and Econometrics
Limit Theory of Model Order Change-Point Estimator for GARCH Models (Articles)

Irene W. Irungu, Peter N. Mwita, Antony G. Waititu

Journal of Mathematical Finance Vol.8 No.2, May 28, 2018

DOI: 10.4236/jmf.2018.82027 897 Downloads 2,057 Views Citations
Currency Portfolio Risk Measurement with Generalized Autoregressive Conditional Heteroscedastic-Extreme Value Theory-Copula Model (Articles)

Cyprian O. Omari, Peter N. Mwita, Antony W. Gichuhi

Journal of Mathematical Finance Vol.8 No.2, May 31, 2018

DOI: 10.4236/jmf.2018.82029 1,420 Downloads 3,478 Views Citations
How Are Structural Breaks Related to Stock Return Volatility Persistence? Evidence from China and Japan (Articles)

Chikashi Tsuji

Modern Economy Vol.9 No.10, October 18, 2018

DOI: 10.4236/me.2018.910102 779 Downloads 2,111 Views Citations
Estimating GARCH Modeling Using Metropolis-Hastings Method in R (Articles)

Min Wang, Yunshun Wu

Open Journal of Statistics Vol.8 No.6, December 20, 2018

DOI: 10.4236/ojs.2018.86062 1,172 Downloads 2,908 Views Citations
Selection of Heteroscedastic Models: A Time Series Forecasting Approach (Articles)

Imoh Udo Moffat, Emmanuel Alphonsus Akpan

Applied Mathematics Vol.10 No.5, May 23, 2019

DOI: 10.4236/am.2019.105024 893 Downloads 2,751 Views Citations
Application of the Improved Generalized Autoregressive Conditional Heteroskedast Model Based on the Autoregressive Integrated Moving Average Model in Data Analysis (Articles)

Qi Yang, Yishu Wang

Open Journal of Statistics Vol.9 No.5, September 6, 2019

DOI: 10.4236/ojs.2019.95036 661 Downloads 2,074 Views Citations
On the Contribution of the Stochastic Integrals to Econometrics (Articles)

Lewis N. K. Mambo, Rostin M. M. Mabela, Isaac K. Kanyama, Eugène M. Mbuyi

Applied Mathematics Vol.10 No.12, December 23, 2019

DOI: 10.4236/am.2019.1012073 835 Downloads 2,670 Views Citations
Empirical Analysis of VDAX and VSTOXX as Major Volatility Indices in the EU Including Forecasting Tools (Articles)

Ernst J. Fahling, Elmar Steurer, Manuel Ulbig, Burkhard Bamberger

Journal of Financial Risk Management Vol.8 No.4, December 31, 2019

DOI: 10.4236/jfrm.2019.84022 1,046 Downloads 2,759 Views Citations
Research on Pricing of Shanghai 50ETF Options Based on Fractal B-S Model and GARCH Model (Articles)

Wanting Hu

Modern Economy Vol.11 No.2, February 20, 2020

DOI: 10.4236/me.2020.112031 1,047 Downloads 2,595 Views Citations
Modeling Seasonal Fractionally Integrated Autoregressive Moving Average-Generalized Autoregressive Conditional Heteroscedasticity Model with Seasonal Level Shift Intervention (Articles)

Lawrence Dhliwayo, Florance Matarise, Charles Chimedza

Open Journal of Statistics Vol.10 No.5, October 27, 2020

DOI: 10.4236/ojs.2020.105047 906 Downloads 2,657 Views Citations
Modelling and Forecasting of Crude Oil Price Volatility Comparative Analysis of Volatility Models (Articles)

Faith Wacuka Ng’ang’a, Meleah Oleche

Journal of Financial Risk Management Vol.11 No.1, March 15, 2022

DOI: 10.4236/jfrm.2022.111008 737 Downloads 6,546 Views Citations
Risk Spillover Effect and Trading Strategy between Carbon Emission Allowance and Carbon-Neutral Index (Articles)

Zedong Cai, Xuxia Liao, Ruiyang Shi

Open Journal of Social Sciences Vol.11 No.1, January 19, 2023

DOI: 10.4236/jss.2023.111012 248 Downloads 1,026 Views Citations
An Empirical Analysis of the Correlation of Agricultural Sectors in the Chinese Stock Market Based on the DCC-GARCH Model (Articles)

Simin Wu, Zahayu Md. Yusof, Masnita Misiran

Journal of Mathematical Finance Vol.14 No.1, December 19, 2023

DOI: 10.4236/jmf.2024.141001 246 Downloads 992 Views Citations
Investigating the Impact of Geopolitical Risks and Uncertainty Factors on Bitcoin (Articles)

José Daniel Cardoso Rodrigues, Petros Golitsis, Pavlos Gkasis

Theoretical Economics Letters Vol.14 No.3, June 28, 2024

DOI: 10.4236/tel.2024.143059 355 Downloads 2,532 Views Citations
Research on the Dynamic Volatility Relationship between Chinese and U.S. Stock Markets Based on the DCC-GARCH Model under the Background of the COVID-19 Pandemic (Articles)

Simin Wu, Yan Liang, Weixun Li

Journal of Applied Mathematics and Physics Vol.12 No.9, September 11, 2024

DOI: 10.4236/jamp.2024.129184 96 Downloads 708 Views Citations
The Role of Forecasting Exchange Rate Volatility and Its Impact on Inflation in Sierra Leone: Evidence from a GARCH-MIDAS approach (Articles)

Edmund Chijeh Eric Tamuke, Lavinia Olayinka Madleine Kamara

Open Access Library Journal Vol.11 No.9, September 19, 2024

DOI: 10.4236/oalib.1112172 111 Downloads 923 Views Citations
Price Influence and Volatility Risk Transmission of Non-Ferrous Metals Futures: Situation in China (Articles)

Hui Gao, Zeduo Yu

American Journal of Industrial and Business Management Vol.14 No.10, October 12, 2024

DOI: 10.4236/ajibm.2024.1410063 102 Downloads 846 Views Citations
Estimation and Application of GARCH-X Model Based on High-Frequency Data (Articles)

Zefang Song, Lingjun Chen, Wenlin Huang

American Journal of Industrial and Business Management Vol.15 No.2, February 20, 2025

DOI: 10.4236/ajibm.2025.152012 196 Downloads 1,369 Views Citations
This article belongs to the Special Issue on Business, Finance and Investment
Efficient Frontiers and Volatility Spreads of Convertible Bonds: Evidence from the Chinese Financial Market (Articles)

Yutong Wu

Modern Economy Vol.16 No.8, August 15, 2025

DOI: 10.4236/me.2025.168058 81 Downloads 618 Views Citations

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