Konu "GARCH" için listeleme
Toplam kayıt 3, listelenen: 1-3
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Bayesian estimation of student-t garch model using lindley's approximation
(Acad Economic Studies, 2019)The dependency of conditional second moments of financial time series is modelled by Generalized Autoregressive conditionally heteroscedastic (GARCH) processes. The maximum likelihood estimation (MLE) procedure is most ... -
Chasing Volatility of USD/TRY Foreign Exchange Rate: The Comparison of CARR, EWMA, and GARCH Models
(2022)This paper aims to make a comparison between range-based and return-based volatility models. For this purpose, we compare the Conditional Autoregressive Range (CARR) type and Generalized Autoregressive Conditional ... -
From discrete to continuous: Garch volatility modeling of the Bitcoin
(Ege Akademik Bakış, 2022)The aim of the study is to determine the most appropriate discrete model for the volatility of Bitcoin returns using the discretetime GARCH model and its extensions and compare it with the Lévy-driven continuous-time GARCH ...