Search results for "garch"
showing 10 items of 43 documents
Forecasting the volatility of biofuel feedstock prices: the US evidence
2019
Given that, nowadays, 40% of the US corn crop is used for biofuel production, there is a growing concern that the rise in biofuel production might lead to an increase in food prices. However, it is also obvious that significant growth in biofuel use has minimized the demand for fossil fuel and has hence reduced the volume of carbon emissions. It is therefore crucial to model corn market volatility precisely because such an estimate could play a vital role in stabilizing food and biofuel market prices. For this purpose, we consider using the information content of the corn implied volatility (CIV) index to predict the corn futures market return volatility. Using symmetric and asymmetric GARC…
Dažādu valūtas tirdzniecības stratēģiju salīdzinājums
2018
Valūtas tirgus ir viens no lielākajiem pasaules finanšu tirgus sektoriem un tam piemīt specifiskas īpašības (piemēram, iespēja tirgoties ar vairāk līdzekļiem nekā ieguldīts), kuras, savukārt, izmanto investori savas peļņas optimizēšanas nolūkā. Maģistra darba mērķis ir izveidot dažādas valūtas tirdzniecības stratēģijas, pielietojot ARIMA, ARMA-GARCH, slēptos Markova modeļus, u.c. metodes, un veikt tirdzniecības simulāciju dažādiem valūtu pāriem, kā arī noskaidrot, vai ar kādu no darbā aprakstītajām metodēm ir iespējams izveidot tādu valūtas tirdzniecības algoritmu, kas ilgtermiņā sniegtu peļņu. Darba gaitā izveidoti četri modeļi, kas veic tirdzniecības simulāciju, balstoties uz valūtas cenu…
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns
2004
In this paper we consider a GARCH-in-Mean (GARCH-M) model based on the so-called z distribution. This distribution is capable of modeling moderate skewness and kurtosis typically encountered in financial return series, and the need to allow for skewness can be readily tested. We apply the new GARCH-M model to study the relationship between risk and return in monthly postwar U.S. stock market data. Our results indicate the presence of conditional skewness in U.S. stock returns, and, in contrast to the previous literature, we show that a positive and significant relationship between return and risk can be uncovered, once an appropriate probability distribution is employed to allow for conditi…
The Xícaras from Don Hilarion: the public spaces and private homes in the eighteenth century rural
2012
El inventario post mortem y el libro de cuenta y razón del escribano Hilarión Cardona nos proporcionan una abundante información sobre las formas de vida y las actividades de este singular personaje y de su entorno. A su ascenso económico y social ayudará una estudiada política matrimonial, lo que le permitirá hacerse un hueco destacado entre los miembros de la oligarquía local. Lo nutrido y excepcional de su vestuario, junto con la posesión de novedosos objetos, nada comunes al resto de los inventarios de bienes, nos ofrecen una clara imagen del proceso de trasferencia de las formas de vida entre la ciudad y el medio rural. Hilarión sintetiza la emulación de los hábitos de comportamiento d…
Why Is It So Difficult to Uncover the Risk-Return Tradeoff in Stock Returns?
2006
The low power of the standard Wald test in a GARCH-in-Mean model with an unnecessary intercept is shown to explain the apparent absence of a risk-return tradeoff in stocks. The importance of this finding is illustrated with monthly U.S. data. (c) 2006 Elsevier B.V. All rights reserved.
The Influence of Oil Price on Renewable Energy Stock Prices: An Analysis for Entrepreneurs
2020
Abstract This study investigates the relationship between oil price fluctuations and renewable energy stock returns using daily data on Brent crude oil prices and global renewable energy stock market indices between 29 November 2010 and 18 February 2020. The investigation is based on the existing evidence on positive correlations between stock prices and oil prices, but it also considers the shift from non-renewable to renewable sources of energy. A two-stage GARCH(1,1) model and a Granger causality test were applied. Our results show that volatility clustering is present in the renewable energy companies‘ stock prices, but, oil price volatility does not seem to induce any significant effec…
Stock Returns and Exchange Rate Volatility Spillovers in the MENA Region
2010
In this article, we examine the presence of volatility spillovers between nominal exchange rates and stock returns in three MENA countries: Egypt, Morocco and Turkey. The multivariate GARCH model we use does not produce evidence of cross-market effects for the general stock indices returns. Nevertheless, bidirectional shock and volatility spillovers between exchange rates and stock returns exist at the industry sector level. These findings are more pronounced in Egypt and Turkey. The different results are due to the different exchange rate regimes/policies adopted by the three countries. While exchange rates in Egypt and Turkey were allowed to float, Morocco followed a more tightly managed…
Do commodity assets hedge uncertainties? What we learn from the recent turbulence period?
2022
AbstractThis study analyses the impact of different uncertainties on commodity markets to assess commodity markets' hedging or safe-haven properties. Using time-varying dynamic conditional correlation and wavelet-based Quantile-on-Quantile regression models, our findings show that, both before and during the COVID-19 crisis, soybeans and clean energy stocks offer strong safe-haven opportunities against cryptocurrency price uncertainty and geopolitical risks (GPR). Soybean markets weakly hedge cryptocurrency policy uncertainty, US economic policy uncertainty, and crude oil volatility. In addition, GSCI commodity and crude oil also offer a weak safe-haven property against cryptocurrency uncer…
Volatility transmission patterns and terrorist attacks
2009
The objective of this study is to analyze volatility transmission between the US and Eurozone stock markets considering the effects of the September 11, March 11 and July 7 financial crises. In order to do this, we use a multivariate GARCH model and take into account the asymmetric volatility phenomenon, the non-synchronous trading problem and the crises themselves. Moreover, a graphical analysis of the Asymmetric Volatility Impulse-Response Functions (AVIRF) is introduced, which takes into consideration the crisis effect. Results suggest that there is bidirectional and asymmetric volatility transmission and show the different impact that terrorist attacks had on both markets. El objetivo d…
Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis
2005
In this paper we examine whether during the 1997 East Asian crisis there was any contagion from the four largest economies in the region (Thailand, Indonesia, Korea and Malaysia) to a number of developed countries (Japan, UK, Germany and France). Following Forbes and Rigobon, we test for contagion as a significant positive shift in the correlation between asset returns, taking into account heteroscedasticity and endogeneity bias. Furthermore, we improve on earlier empirical studies by carrying out a full sample test of the stability of the system that relies on more plausible (over) identifying restrictions. The estimation results provide some evidence of contagion, in particular from Japan…