The volatility of the stock market and financial cycle : GARCH family models by Tran, Thuy Nhung

“…The paper initially assesses several types of GARCH models’ criteria, namely the log-likelihood, AIC and BIC, in choosing the best model to illustrate the financial cycle. …”
Get full text

Comparing the accuracy of density forecasts from competing GARCH models by Abu Hassan Shaari Mohd Nor, Ahmad Shamiri, Zaidi Isa

“…We include an illustrative simulation to compare a set of distributions, including symmetric and asymmetric distribution, and a family of GARCH volatility models. Our results on simulated data show that the choice of the conditional distribution appears to be a more dominant factor in determining the adequacy and accuracy (quality) of density forecasts than the choice of volatility model.…”
Get full text

Garch models and distributions comparison for nonlinear time series with volatilities by Abdul Rahman, Nur Haizum, Jia, Goh Hui, Zulkafli, Hani Syahida

“…The models considered are the standard GARCH, Integrated GARCH (IGARCH), Exponential GARCH (EGARCH), and Golsten, Jagannathan, and Runkle GARCH (GJR-GARCH), each with normal distribution, Student’s t-distribution, and Generalized Error Distribution (GED). …”

Enhancing stock volatility prediction with the AO-GARCH-MIDAS model by Liu, Ting, Choo, Weichong, Tunde, Matemilola Bolaji, Wan, Cheongkin, Liang, Yifan

“…This study introduces this approach for the first time to generalized autoregressive conditional heteroskedasticity mixed data sampling (GARCH-MIDAS) models, so as to establish an additional outliers corrected GARCH-MIDAS model (AO-GARCH-MIDAS). …”
Get full text

Modelling the volatility of currency exchange rate using GARCH model by Choo, Wei Chong, Loo, Sin Chun, Ahmad, Muhammad Idrees

“…This paper attempts to study GARCH models with their modifications, in capturing the volatility of the exchange rates. …”
Get full text

Forecasting currency in circulation in Malaysia using arch and garch models by Abdul Razak, Nur Azreen, Khamis, Azme, Abdullah, Mohd Asrul Affendi, Sufahani, Suliadi Firdaus

“…Two methods are considered, which are Autoregressive Conditional Heteroscedastic (ARCH) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH). Using the Root Mean Square Error (RMSE) as the forecasting performance measure, this study concludes that GARCH is a more appropriate model compared to ARCH.…”
Get full text

Traffic speed prediction using GARCH-GRU hybrid model. by Ali, Muhammad, Mohamad Yusof, Kamaludin, Wilson, Benjamin, Ziegelmueller, Carina

“…This paper presents a novel technique, termed as GARCH-GRU, based on additive decomposition that splits data into random (residual) and deterministic parts. …”

Application of Arima and Garch models in forecasting crude oil prices by Lee, Chee Nian

“…Finally, using several measures, comparison performances between ARIMA(1,2,1) and GARCH(1,1) models are made. GARCH(1,1) is found to be a better model than ARIMA(1,2,1) model. …”
Get full text

Modelling and forecasting volatile data by using ARIMA and GARCH models by Miswan, Nor Hamizah

“…In terms of forecasting performances between ARIMA and GARCH models, it can be concluded that GARCH is a better model for kijang emas prices data while ARIMA is a better model for crude oil prices data.…”
Get full text

The performance of hybrid arima-garch modeling in forecasting gold price by Yaziz, Siti Roslindar, Azizan, Noor Azlinna, Zakaria, Roslina, Ahmad, Maizah Hura

“…In the second phase, the GARCH is used to model the nonlinear patterns of the residuals. …”

Forecasting crude oil prices by using exponential smoothing and garch method / by 499144 Ding, Poh Giek, Maizah Hura Ahmad, Fakulti Sains

Symmetric and asymmetric garch models for forecasting the prices of gold [electronic resource] / by Pung, Yean Ping, 1985-, Maizah Hura Ahmad

Modelling of crude oil prices using hybrid arima-garch model / by Napishah Hashim, 1991- author, Maizah Hura Ahmad, Fakulti Sains

Modelling Kijang Emas prices by using hybrid ann-garch model / by Fatin Nadiah Mohamed Yussof, 1992-, author 570223, Maizah Hura Ahmad 494062, Fakulti Sains 8004

Modelling Kijang Emas prices by using hybrid ann-garch model / by Fatin Nadiah Mohamed Yussof, 1992-, author 570223

ARIMA and symmetric GARCH-type models in forecasting Malaysia gold price by Siti Roslindar, Yaziz, Roslinazairimah, Zakaria, Suhartono, .

“…The empirical results indicate that ARIMA(0,1,0) - standard GARCH(1,1) using t innovations is the most preferred ARIMA with symmetric GARCH-type model.…”
Get full text

Modelos ARCH, GARCH y EGARCH: aplicaciones a series financieras by Cepeda Cuervo Edilberto, Casas Monsegny Marta

Subjects: “…modelos ARCH, GARCH y EGARCH, predicción.…”
Get full text

On Diagnostic Checking of Vector ARMA-GARCH Models with Gaussian and Student-t Innovations by Yongning Wang, Ruey S. Tsay

Subjects: Get full text

The application of the hybrid copula-GARCH approach in the simulation of extreme discharge values by Mohammad Nazeri Tahroudi, Mirali Mohammadi, Keivan Khalili

“…The results of simulations revealed that a higher accuracy of the copula-GARCH approach compared with two models copula and VAR-GARCH. …”
Get full text

Identifying the Role of Gold on Sustainable Investment in Indonesia: The DCC-GARCH Approach by Robiyanto Robiyanto, Bayu Adi Nugroho, Andrian Dolfriandra Huruta, Budi Frensidy, Suyanto Suyanto

“…Therefore, the method used in this research, DCC-GARCH, was relaxing the basic assumptions in the theory of modern portfolio that is under the assumption of the normality of stock return and securities would have constant correlation. …”
Get full text