پیوندهای مفید
آمار
| تعداد نشریات | 21 |
| تعداد شماره‌ها | 638 |
| تعداد مقالات | 9,328 |
| تعداد مشاهده مقاله | 67,945,368 |
| تعداد دریافت فایل اصل مقاله | 22,676,324 |
Using apgarch/avgarch models Gaussian and non-Gaussian for modeling volatility exchange rate | ||
| International Journal of Nonlinear Analysis and Applications | ||
| مقاله 245، دوره 13، شماره 1، خرداد 2022، صفحه 3029-3038 اصل مقاله (421.33 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22075/ijnaa.2022.6035 | ||
| نویسندگان | ||
| Suhail Najm Abdulla* ؛ Heba Dhaher Alwan | ||
| Department of Statistics, University of Baghdad, Baghdad, Iraq | ||
| تاریخ دریافت: 16 آبان 1400، تاریخ بازنگری: 29 آذر 1400، تاریخ پذیرش: 12 دی 1400 | ||
| چکیده | ||
| This paper aims to measure the effect of the volatility on the daily closing price for the (Iraqi dinar against US dollar) from (21 July 2011) until (21 July 2021) using the models of asymmetric general autoregressive conditional heterogeneity (APGARCH and AVGARCH). The parameter estimated by Maximum Likelihood Estimation method and the error term assumed two distributional (General error distribution and Student's t distribution), the results showed that the APGARCH(1,2) with error term distributed (Student's t) distribution is the best model for the return series of the (IQ/USD) exchange rate to get the lowest value according to the information criteria for determining ranks (AIC, BIC) in addition to the presence of the asymmetric effect of the leverage, and this is evidence that negative shocks affect volatility more than positive shocks (the impact of the positive shocks is less than the impact of the negative shocks). | ||
| کلیدواژه‌ها | ||
| Volatility؛ asymmetric GARCH model؛ exchange rate | ||
| مراجع | ||
|
[1] G. Ali, Egarch, EGARCH, GJR-GARCH, TGARCH, AVGARCH, NGARCH, IGARCH and APARCH models for pathogens at marine recreational sites, J. Statist. Econometric Methods 2(3) 2013 57–73. [2] T. Bollerslev, Generalized autoregressive conditional heteroskedasticity, J. Econometrics 31(3) (1986) 307–327. [3] J. Chu, S. Chan, S. Nadarajah and J. Osterrieder, Garch modelling of cryptocurrencies, J. Risk Financ. Manag. 10(4) (2017) 17. [4] A. H. De-Graft and A. Joseph, On the comparison of Bayesian information criterion and Draper’s information criterion in selection of an asymmetric price relationship: bootstrap simulation results, Russ. J. Agric. Socio-Econ. Sci. 15(3) (2013). [5] D. A. Dickey and W. A. Fuller, Distribution of the estimators for autoregressive time series with a unit root, J. Amer. Statist. Assoc. 74(366a) (1979) 427–431. [6] A.K. Diongue, D. Guegan and R.C. Wolff, BL-GARCH models with elliptically distributed innovations, J. Stat. Comput. Simul. 80(7) (2010) 775–791. [7] D.Z. Dum, M.Y. Dimkpa, C.B. Ele, R.I. Chinedu and G. Emugha, Comparative modelling of price volatility in Nigerian crude oil markets using symmetric and asymmetric GARCH models, Asian Res. J. Math. (2021) 35–54. [8] R.F. Engle, Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica (1982) 987-1007. [9] C.M. Jarque and A.K. Bera, A test for normality of observations and regression residuals, Int. Stat. Rev. 1987 163-172. [10] S. Laurent, Analytical derivates of the APARCH model, Comput. Econ. 24(1) (2004) 51–57. [11] J. H. Lee and M. L. King, A locally most mean powerful based score test for ARCH and GARCH regression disturbances, J. Bus. Econom. Statist. 11(1) (1993) 17–27. [12] D. Li, S. Ling and J.M. Zakoıan, Asymptotic inference in multiple-threshold double autoregressive models, J. Econometrics 189(2) (2015) 415–427. [13] N.G. Ljung and G. Box, On the measure of lack of fit in time series models, Econometrica 65(2) (1978) 297–303. [14] U.R.A.L. Mert, Generalized asymmetric power arch modeling of national stock market returns, Sosyal Ekonomik Ara¸stırmalar Dergisi 9(18) (2009) 575–590. [15] M.O. Nweze, On the volatility of daily stock returns of Total Nigeria Plc: evidence from GARCH models, value at-risk and backtesting, Financ. Innov. 6(1) (2020) 1–25. [16] D.B. Nelson, Conditional heteroskedasticity in asset returns: A new approach, Econometrica (1991) 347–370. [17] P.C. Phillips and P. Perron, Testing for a unit root in time series regression, Biometrika 75(2) (1988) 335–346. | ||
|
آمار تعداد مشاهده مقاله: 15,732 تعداد دریافت فایل اصل مقاله: 3,153 |
||