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References in periodicals archive ?
34], investigate the time series as analysis of economic factors and the stock market by employing the Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH).
39 (a) Columns A and B denote exchange volatility measured from the Generalized Autoregressive Conditional Heteroskedasticity (GARCH)(1,1) model and the moving average (MA) model, respectively.
The interpretation for the model defined in (8)-(9) is that returns in linear regression follow an autoregressive conditional heteroskedasticity of the order q.
Then we shifted to Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model for determining long-run impact of exchange rate on the inflation rate.
Using a multivariate generalized autoregressive conditional heteroskedasticity (GARCH-M) model, Chancharoenchai and Dibooglu (2006) examined volatility spillovers in six Southeast Asian stock markets pre and after the 1997 Asian crisis and its interactions with the U.
Therefore, a generalized autoregressive conditional heteroskedasticity (GARCH) model is used to capture the attendance volatility.
The paper applies the generalized autoregressive conditional heteroskedasticity (GARCH) model developed by Engle and Robert (2001) to determine whether the error variance depends on past squared errors and past error variances.
Secondly, as a check on these results, we will employ a generalized autoregressive conditional heteroskedasticity (GARCH) (1) model.
Daily exchange rate data are used in Bazdresch and Werner's study without accounting for the general autoregressive conditional heteroskedasticity (GARCH) effect.
There is some evidence for remaining autoregressive conditional heteroskedasticity (ARCH) effects, although marginally, in the equation for the short-term interest rate change and in the equation for the change in the output gap.
This study uses the Autoregressive Conditional Heteroskedasticity (ARCH) models and its extension, the Generalized ARCH, EGARCH and TARCH models was used to find out the presence of the stock market volatility on Indian stock market.
Similarly, Cheung and Ng (1990) analyse price changes over fifteen-minute periods for the S&P 500 index using a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model.