Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 3 of 3
Full-Text Articles in Business
Arma-Garch Model Applied To Exchange-Traded Funds, Rebecca Davis
Arma-Garch Model Applied To Exchange-Traded Funds, Rebecca Davis
Open Access Theses & Dissertations
In this paper, time-varying volatility of some of the leading exchange-traded funds are studied. The ARMA mean equation with GARCH errors is used to model the series correlations and the conditional heteroscadesticity in the asset
returns. The conditional distributions of the standardized residuals are assumed to be skew-generalized error distribution. The high kurtosis and fat tail of the returns, were captured in all the data by fitting an ARMA-GARCH model with the conditional distribution of, skew-generalized error distribution.
Furthermore, the sample cross-correlations of these significant exchange-traded funds and the corresponding financial indices they mimic were computed. The empirical conclusion was …
Study Of Volatility Structures In Geophysics And Finance Using Garch Models, Francis Biney
Study Of Volatility Structures In Geophysics And Finance Using Garch Models, Francis Biney
Open Access Theses & Dissertations
This work investigates the underlying volatility processes in earthquake series, explosive series, high frequency (tick) data and financial indices. Furthermore it examines the applicability of a range of GARCH specifications for modeling volatility of these series in order to identify similarities and differences in the volatility structures. The GARCH
variants considered include the basic GARCH, IGARCH, ARFIMA (0,d,0)-GARCH and FIGARCH specifications. In all the applications the methodology provides insight into features of these series volatility.
Analysis Of Intermittence And Log-Periodicity Of Foreign Exchange Rates Near A Crash, Arturo Casillas
Analysis Of Intermittence And Log-Periodicity Of Foreign Exchange Rates Near A Crash, Arturo Casillas
Open Access Theses & Dissertations
Many believe that financial indices near a crash exhibit a type of critical point characterized by log-periodic signatures. Models have been developed based on these ideas in an attempt to mathematically characterize financial data about to crash. Few of these models consider the property of intermittency. Intermittency is a concept borrowed from fluid dynamics that essentially implies that a system alternates between a stable, or predictable, state and unstable state. One model that attempts to characterize crashes incorporates intermittency in the form of log-stationary intervals. It models the asset price as a step function that follows an underlying power law. …