Konu "Volatility" için listeleme
Toplam kayıt 3, listelenen: 1-3
-
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 ... -
Engle-Granger Cointegration Analysis Between Garch-Type Volatilities of Gold and Silver Returns
(2021)The aim of this study is to reveal the cointegration relationship between the volatility of silver and gold returns. For this purpose, the volatility of silver and gold returns is modeled with GARCH-type models. The ... -
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 ...