Search results for "GARCH"
showing 10 items of 43 documents
Kriptovalūtu volatilitātes modelēšana un prognozēšana
2018
Maģistra darbā ir veikta GARCH volatilitātes modelēšana četrām, pēc tirgus kapitalizācijas, lielākajām kriptovalūtām: Bitcoin, Ethereum, Litecoin un Ripple. Darba empīriskajā daļā, tiek veikta kriptovalūtu GARCH, TGARCH, EGARCH un PGARCH modelēšana un prognozēšana izmantojot normālo un stjūdenta t sadalījumus, aplūkojot laika periodu no 07.08.2015 līdz 27.03.2018. Labākais modelis tiek noteikts salīdzinot trīs modeļu informācijas kritērijus un modeļu prognozes novērtējumus. Kaut arī stjūdenta t sadalījuma izmantošana uzlaboja modeļu novērtējumu visām četrām kriptovalūtām, tomēr tas ne vienmēr uzlaboja modeļa prognozi. Pēc iegūtajiem rezultātiem var secināt Ripple un Bitcoin EGARCH modeļi pā…
Extracting Conditionally Heteroskedastic Components using Independent Component Analysis
2020
In the independent component model, the multivariate data are assumed to be a mixture of mutually independent latent components. The independent component analysis (ICA) then aims at estimating these latent components. In this article, we study an ICA method which combines the use of linear and quadratic autocorrelations to enable efficient estimation of various kinds of stationary time series. Statistical properties of the estimator are studied by finding its limiting distribution under general conditions, and the asymptotic variances are derived in the case of ARMA-GARCH model. We use the asymptotic results and a finite sample simulation study to compare different choices of a weight coef…
The Political Economy of the ASEAN Regionalisation Process
2015
Oligarchies and Client Systems in Rural communities in the South of the Crown of Aragón (13th to 15th Centuries)
2010
Studies of late medieval Hispanic client systems generally focus on networks of noble power, to the exclusion of the peasantry. This is doubtless in part because the peasantry has traditionally been considered to represent a largely homogenous social group defined in opposition to the feudal nobility, whose members defended common interests. However, the last few years have witnessed a profusion of studies into the rural, or peasant, elites of Western Europe during the late medieval and modern periods, and these highlight not only significant disparities between the economic status of those and that of the remainder of the peasantry, but also their employment of specific power-mechanisms in…
Järjestyslukuihin perustuva eksponentiaalinen tasoitus ja volatiliteetin ennustaminen
2009
Analisi e modelli statistici per serie storiche economiche
2020
Il testo presenta una rassegna di analisi e modelli statistici per serie storiche economiche con riferimento ai metodi maggiormente applicati a livello professionale. La trattazione è corredata da ampia analisi empirica con riferimento al software R e Python.
ICA and stochastic volatility models
2016
We consider multivariate time series where each component series is an unknown linear combination of latent mutually independent stationary time series. Multivariate financial time series have often periods of low volatility followed by periods of high volatility. This kind of time series have typically non-Gaussian stationary distributions, and therefore standard independent component analysis (ICA) tools such as fastICA can be used to extract independent component series even though they do not utilize any information on temporal dependence. In this paper we review some ICA methods used in the context of stochastic volatility models. We also suggest their modifications which use nonlinear…
THE POWER OF THE FEW. THE IDEA OF OLIGARCHY IN THE THUCYDIDEAN WORLD.
2020
Raakaöljymarkkinoiden rakennemuutokset ja futuurimarkkinoiden tehokkuus
2017
Tutkimuksessa tutkittiin raakaöljymarkkinoiden rakennemuutoksia ja futuurimarkkinoiden tehokkuutta ja pyrittiin selvittämään, ovatko raakaöljyn futuurimarkkinat tehokkaat, onko raakaöljymarkkinoilla havaittavia rakennemuutoksia ja onko raakaöljymarkkinoiden rakennemuutoksilla vaikutusta futuurimarkkinoiden tehokkuuteen. Aineistona käytettiin Brent- ja WTI-raakaöljylaatujen spot- ja futuurihintasarjoja ajanjaksolta 24.6.1988 – 19.1.2017. Rakennemuutosta tutkittiin Zivot-Andrews –testillä ja futuurimarkkinoiden tehokkuutta lineaarisella regressiolla sekä GJR-tyyppisellä epäsymmetrisyysmuuttujalla täydennetyllä GARCH-in-Mean –mallilla. Havaitut rakennemuutokset ajoittuivat WTI:n spot- ja futuu…
Poderes locales, conflictividad y cambio social en la España agraria. Del Antiguo Régimen a la sociedad burguesa
1993
Se analizan los debates y las comunicaciones del VI Seminario de Historia Agraria en la sesión dedicada a los poderes locales en la España del siglo XIX. Se sitúa la discusión en la problemática del cambio social, las actitudes y la conflictividad colectivas. The various discussions and papers from the 4th Seminar on Agrarian History in its meeting about the local authorities in the 19th-century Spain, are discussed. The reflection focusses on the set of problems of the social change, on the collective attitudes, tensions and disputes. jmillan@uv.es