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Bayesian inference of multivariate-GARCH-BEKK models
The main aim of this paper is to present a Bayesian analysis of Multivariate GARCH( l , m ) (M-GARCH) models including estimation of the coefficient...
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Modeling and forecasting the volatility of some industry development indicators in Ethiopia using multivariate GARCH models
Industry development indicators refer to a set of measures used to assess the performance and growth of industries. The main aim of this study was to...
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Co-movements Between Bitcoin and Gold: Multivariate BEKK-GARCH Models
This study examined the Co-movements between gold and Bitcoin using weekly data between January 4, 2015, and May 21, 2023. Multivariate-GARCH models...
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On the forecasting of multivariate financial time series using hybridization of DCC-GARCH model and multivariate ANNs
Volatility plays a crucial role in financial markets and accurate prediction of the stock price indices is of high interest. In multivariate time...
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Stochastic variational inference for GARCH models
Stochastic variational inference algorithms are derived for fitting various heteroskedastic time series models. We examine Gaussian, t, and skewed t...
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Nonlinear GARCH-type models for ordinal time series
Despite their relevance in various areas of application, only few stochastic models for ordinal time series are discussed in the literature. To allow...
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Optimal consumption and investment in general affine GARCH models
Our paper presents the first optimal analytical solution for an investor maximizing both consumption and terminal wealth within expected utility...
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Resilience for financial networks under a multivariate GARCH model of stock index returns with multiple regimes
Targeting systemic risk, we propose a two-stage analysis of a large collection of stock markets by considering their interconnections. First, we...
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Inter-Linkages Between Asian and U.S. Stock Market Returns: A Multivariate GARCH Analysis
This chapter investigates inter-linkages of the Asian stock markets, viz. China, Hong Kong, India, Japan and Singapore with the U.S. stock market....
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A general framework for spatial GARCH models
In time-series analysis, particularly in finance, generalized autoregressive conditional heteroscedasticity (GARCH) models are widely applied...
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ARCH and GARCH Models
In finance data one often observes so-called volatility clustering, i.e. periods with relatively high volatility and periods with low volatility...
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Volatility forecasting using deep recurrent neural networks as GARCH models
Estimating and predicting volatility in time series is of great importance in different areas where it is required to quantify risk based on...
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The Mardia’s Kurtosis of a Multivariate GARCH Model
The Mardia’s kurtosis of a random vector with nonsingular covariance matrix and finite fourth-order moments is the fourth moment of the Mahalanobis...
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Application of hybridized ANN–GARCH, ANN–SETAR, MARS–SPSO, and CANFIS–SPSO meta-models for improving accuracy of monthly streamflow prediction
Among the components of the hydrological cycle, stream flow has a major role in integrated water resources management. Establishing an accurate and...
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Comparison of Value at Risk (VaR) Multivariate Forecast Models
We investigate the performance of VaR (Value at Risk) forecasts, considering different multivariate models: HS (Historical Simulation), DCC-GARCH...
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A multivariate heavy-tailed integer-valued GARCH process with EM algorithm-based inference
A new multivariate integer-valued Generalized AutoRegressive Conditional Heteroscedastic (GARCH) process based on a multivariate Poisson generalized...
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Hybrid models for drought forecasting: Integration of multi pre-processing-data driven approaches and non-linear GARCH time series model
This study introduces two integrated methods to model the short- to long-term droughts in terms of the Standardized Precipitation Index (SPI). In...
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Investigating the price volatility spillover effects in the poultry industry inputs market and the egg market in Iran: using the multivariate DCC-GARCH model
BackgroundThis paper investigates the effects of price volatility spillover in the poultry industry’s input markets, including soybean meal, day-old...
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The link between regional CDS spreads and equity returns: a multivariate GARCH approach
This paper analyses correlation dynamics, leverage effects and volatility transmission across the regions under study for the credit default swap...
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Examining the spillover effects of volatile oil prices on Iran’s stock market using wavelet-based multivariate GARCH model
Fluctuations in the oil market can significantly influence various sectors of the economy, such as the stock markets of countries that rely heavily...
