Search results for "garch"
showing 3 items of 43 documents
Does corn market uncertainty impact the US ethanol prices?
2018
The growing interest in biofuel as a green energy source has intensified the linkages between corn and ethanol markets, especially in the United States that represents the largest producing and exporting country for ethanol in the world. In this study, we examine the effect of corn market uncertainty on the price changes of US ethanol applying a set of GARCH-jump models. We find that the US ethanol price changes react positively to the corn market volatility shocks after controlling for the effect of oil price uncertainty. In addition, we document that the impact of corn price volatility on the US ethanol prices appears to be asymmetric. Specifically, only the positive corn market volatilit…
La contestación a los próceres. Pugna de facciones y desórdenes en Valencia (1376-1478)
2021
La intermitencia de los ataques verbales y escritos contra las decisiones de gobierno de la ciudad de Valencia a lo largo de un siglo se inscriben en una dinámica absorbente, liderada por partidos rivales de la oligarquía, capaces éstos de asumir reivindicaciones grupales ajenas y de arrastrar a parte de los ciudadanos y de los menestrales bajo fórmulas clientelares. Las circunstancias concretas de las protestas superaron los cauces institucionales previstos en una asamblea municipal renovada anualmente y con amplia representación social, la cual se demostró más como plataforma para la adhesión de los vecinos respecto a los líderes de la sociedad política y menos como órgano de discusión po…
MODELING OF VOLATILITY IN THE ROMANIAN CAPITAL MARKET
2012
This paper aims to analyze the volatility of capital market in Romania by selecting a portfolio of representative indices (BET BET_FI and RASDAQ_C). In this respect, we want to identify the most appropriate model to estimate volatility by using modern econometric tools and useful GARCH models respectively. The study results highlight that EGARCH(1,1) model has managed to eliminate all traces of statistically significant autocorrelation and ARCH effects from the residuals from daily series, giving an accurate image of the Romanian capital market volatility.