GARCH Model - Articles - Scientific Research Publishing

Modeling Exchange Rate Dynamics in Egypt: Observed and Unobserved Volatility (Articles)

Dina Rofael, Rana Hosni

Modern Economy Vol.6 No.1，January 14, 2015

DOI: 10.4236/me.2015.61006 4,455 Downloads 6,102 Views Citations
A New Fama-French 5-Factor Model Based on SSAEPD Error and GARCH-Type Volatility (Articles)

Wentao Zhou, Liuling Li

Journal of Mathematical Finance Vol.6 No.5，November 16, 2016

DOI: 10.4236/jmf.2016.65050 2,996 Downloads 7,033 Views Citations
Empirical Research on Spillover Effect among Stock, Money and Foreign Exchange Market of China (Articles)

Yunlong Yu, Dong Liao

Modern Economy Vol.8 No.5，May 12, 2017

DOI: 10.4236/me.2017.85047 1,988 Downloads 3,735 Views Citations
Analysis of 48 US Industry Portfolios with a New Fama-French 5-Factor Model (Articles)

Liuling Li, Xiao Rao, Wentao Zhou, Bruce Mizrach

Applied Mathematics Vol.8 No.11，November 30, 2017

DOI: 10.4236/am.2017.811122 1,207 Downloads 5,943 Views Citations
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 803 Downloads 1,664 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 1,268 Downloads 2,779 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 684 Downloads 1,698 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 1,063 Downloads 2,506 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 849 Downloads 2,102 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 930 Downloads 2,065 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 581 Downloads 5,376 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 159 Downloads 547 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 63 Downloads 292 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 56 Downloads 285 Views Citations
This article belongs to the Special Issue on Business, Finance and Investment
Modelling Stock Prices with Exponential Weighted Moving Average (EWMA) (Articles)

Adejumo Wahab Adewuyi

Journal of Mathematical Finance Vol.6 No.1，February 26, 2016

DOI: 10.4236/jmf.2016.61011 6,242 Downloads 10,384 Views Citations
Option Pricing Applications of Quadratic Volatility Models (Articles)

Srimantoorao. S. Appadoo, Aerambamoorthy Thavaneswaran, Saman Muthukumarana

Journal of Mathematical Finance Vol.2 No.2，May 23, 2012

DOI: 10.4236/jmf.2012.22017 4,712 Downloads 9,180 Views Citations
A Multiplicative Seasonal ARIMA/GARCH Model in EVN Traffic Prediction (Articles)

Quang Thanh Tran, Zhihua Ma, Hengchao Li, Li Hao, Quang Khai Trinh

Int'l J. of Communications, Network and System Sciences Vol.8 No.4，April 2, 2015

DOI: 10.4236/ijcns.2015.84005 4,899 Downloads 6,670 Views Citations
Measuring and Comparing the Value-at-Risk Using GARCH and CARR Models for CSI 300 Index (Articles)

Chunchou Wu

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

DOI: 10.4236/tel.2018.86078 1,062 Downloads 5,034 Views Citations
This article belongs to the Special Issue on Computational Economics and Econometrics
Growth and Volatility: An Analysis for the Brazilian Economy (Articles)

Elano Ferreira Arruda, Felipe de Sousa Bastos, Pablo Urano de Carvalho Castelar, Fernando Marques Mansilla, Antônio Clécio de Brito

Theoretical Economics Letters Vol.9 No.7，October 24, 2019

DOI: 10.4236/tel.2019.97165 725 Downloads 1,902 Views Citations
Recurrent Support and Relevance Vector Machines Based Model with Application to Forecasting Volatility of Financial Returns (Articles)

Altaf Hossain, Mohammed Nasser

Journal of Intelligent Learning Systems and Applications Vol.3 No.4，November 29, 2011

DOI: 10.4236/jilsa.2011.34026 7,381 Downloads 13,052 Views Citations

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