Search results for: TARCH

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TARCH</title> <meta name="description" content="Search results for: TARCH"> <meta name="keywords" content="TARCH"> <meta name="viewport" content="width=device-width, initial-scale=1, minimum-scale=1, maximum-scale=1, user-scalable=no"> <meta charset="utf-8"> <link href="https://cdn.waset.org/favicon.ico" type="image/x-icon" rel="shortcut icon"> <link href="https://cdn.waset.org/static/plugins/bootstrap-4.2.1/css/bootstrap.min.css" rel="stylesheet"> <link href="https://cdn.waset.org/static/plugins/fontawesome/css/all.min.css" rel="stylesheet"> <link href="https://cdn.waset.org/static/css/site.css?v=150220211555" rel="stylesheet"> </head> <body> <header> <div class="container"> <nav class="navbar navbar-expand-lg navbar-light"> <a class="navbar-brand" href="https://waset.org"> <img src="https://cdn.waset.org/static/images/wasetc.png" alt="Open Science Research Excellence" title="Open Science Research Excellence" /> </a> <button class="d-block d-lg-none navbar-toggler ml-auto" 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class="input-group"> <i class="fas fa-search"></i> <input type="text" class="search-query" name="q" placeholder="Author, Title, Abstract, Keywords" value="TARCH"> <input type="submit" class="btn_search" value="Search"> </div> </div> </form> </div> </div> <div class="row mt-3"> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Commenced</strong> in January 2007</div> </div> </div> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Frequency:</strong> Monthly</div> </div> </div> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Edition:</strong> International</div> </div> </div> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Paper Count:</strong> 3</div> </div> </div> </div> <h1 class="mt-3 mb-3 text-center" style="font-size:1.6rem;">Search results for: TARCH</h1> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">3</span> The Impact of the Global Financial Crises on MILA Stock Markets </h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Miriam%20Sosa">Miriam Sosa</a>, <a href="https://publications.waset.org/abstracts/search?q=Edgar%20Ortiz"> Edgar Ortiz</a>, <a href="https://publications.waset.org/abstracts/search?q=Alejandra%20Cabello"> Alejandra Cabello</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This paper examines the volatility changes and leverage effects of the MILA stock markets and their changes since the 2007 global financial crisis. This group integrates the stock markets from Chile, Colombia, Mexico and Peru. Volatility changes and leverage effects are tested with a symmetric GARCH (1,1) and asymmetric TARCH (1,1) models with a dummy variable in the variance equation. Daily closing prices of the stock indexes of Chile (IPSA), Colombia (COLCAP), Mexico (IPC) and Peru (IGBVL) are examined for the period 2003:01 to 2015:02. The evidence confirms the presence of an overall increase in asymmetric market volatility in the Peruvian share market since the 2007 crisis. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=financial%20crisis" title="financial crisis">financial crisis</a>, <a href="https://publications.waset.org/abstracts/search?q=Latin%20American%20Integrated%20Market" title=" Latin American Integrated Market"> Latin American Integrated Market</a>, <a href="https://publications.waset.org/abstracts/search?q=TARCH" title=" TARCH"> TARCH</a>, <a href="https://publications.waset.org/abstracts/search?q=GARCH" title=" GARCH"> GARCH</a> </p> <a href="https://publications.waset.org/abstracts/57884/the-impact-of-the-global-financial-crises-on-mila-stock-markets" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/57884.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">279</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">2</span> Modelling Impacts of Global Financial Crises on Stock Volatility of Nigeria Banks</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Maruf%20Ariyo%20Raheem">Maruf Ariyo Raheem</a>, <a href="https://publications.waset.org/abstracts/search?q=Patrick%20Oseloka%20Ezepue"> Patrick Oseloka Ezepue</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This research aimed at determining most appropriate heteroskedastic model to predicting volatility of 10 major Nigerian banks: Access, United Bank for Africa (UBA), Guaranty Trust, Skye, Diamond, Fidelity, Sterling, Union, ETI and Zenith banks using daily closing stock prices of each of the banks from 2004 to 2014. The models employed include ARCH (1), GARCH (1, 1), EGARCH (1, 1) and TARCH (1, 1). The results show that all the banks returns are highly leptokurtic, significantly skewed and thus non-normal across the four periods except for Fidelity bank during financial crises; findings similar to those of other global markets. There is also strong evidence for the presence of heteroscedasticity, and that volatility persistence during crisis is higher than before the crisis across the 10 banks, with that of UBA taking the lead, about 11 times higher during the crisis. Findings further revealed that Asymmetric GARCH models became dominant especially during financial crises and post crises when the second reforms were introduced into the banking industry by the Central Bank of Nigeria (CBN). Generally, one could say that Nigerian banks returns are volatility persistent during and after the crises, and characterised by leverage effects of negative and positive shocks during these periods <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=global%20financial%20crisis" title="global financial crisis">global financial crisis</a>, <a href="https://publications.waset.org/abstracts/search?q=leverage%20effect" title=" leverage effect"> leverage effect</a>, <a href="https://publications.waset.org/abstracts/search?q=persistence" title=" persistence"> persistence</a>, <a href="https://publications.waset.org/abstracts/search?q=volatility%20clustering" title=" volatility clustering"> volatility clustering</a> </p> <a href="https://publications.waset.org/abstracts/49896/modelling-impacts-of-global-financial-crises-on-stock-volatility-of-nigeria-banks" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/49896.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">526</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1</span> Downside Risk Analysis of the Nigerian Stock Market: A Value at Risk Approach</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Godwin%20Chigozie%20Okpara">Godwin Chigozie Okpara</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This paper using standard GARCH, EGARCH, and TARCH models on day of the week return series (of 246 days) from the Nigerian Stock market estimated the model variants’ VaR. An asymmetric return distribution and fat-tail phenomenon in financial time series were considered by estimating the models with normal, student t and generalized error distributions. The analysis based on Akaike Information Criterion suggests that the EGARCH model with student t innovation distribution can furnish more accurate estimate of VaR. In the light of this, we apply the likelihood ratio tests of proportional failure rates to VaR derived from EGARCH model in order to determine the short and long positions VaR performances. The result shows that as alpha ranges from 0.05 to 0.005 for short positions, the failure rate significantly exceeds the prescribed quintiles while it however shows no significant difference between the failure rate and the prescribed quantiles for long positions. This suggests that investors and portfolio managers in the Nigeria stock market have long trading position or can buy assets with concern on when the asset prices will fall. Precisely, the VaR estimates for the long position range from -4.7% for 95 percent confidence level to -10.3% for 99.5 percent confidence level. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=downside%20risk" title="downside risk">downside risk</a>, <a href="https://publications.waset.org/abstracts/search?q=value-at-risk" title=" value-at-risk"> value-at-risk</a>, <a href="https://publications.waset.org/abstracts/search?q=failure%20rate" title=" failure rate"> failure rate</a>, <a href="https://publications.waset.org/abstracts/search?q=kupiec%20LR%20tests" title=" kupiec LR tests"> kupiec LR tests</a>, <a href="https://publications.waset.org/abstracts/search?q=GARCH%20models" title=" GARCH models "> GARCH models </a> </p> <a href="https://publications.waset.org/abstracts/21471/downside-risk-analysis-of-the-nigerian-stock-market-a-value-at-risk-approach" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/21471.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">443</span> </span> </div> </div> </div> </main> <footer> <div id="infolinks" class="pt-3 pb-2"> <div class="container"> <div style="background-color:#f5f5f5;" class="p-3"> <div class="row"> <div class="col-md-2"> <ul class="list-unstyled"> About <li><a href="https://waset.org/page/support">About Us</a></li> <li><a href="https://waset.org/page/support#legal-information">Legal</a></li> <li><a target="_blank" rel="nofollow" href="https://publications.waset.org/static/files/WASET-16th-foundational-anniversary.pdf">WASET celebrates its 16th foundational anniversary</a></li> </ul> </div> <div class="col-md-2"> <ul class="list-unstyled"> Account <li><a href="https://waset.org/profile">My Account</a></li> </ul> </div> <div class="col-md-2"> <ul class="list-unstyled"> Explore <li><a href="https://waset.org/disciplines">Disciplines</a></li> <li><a href="https://waset.org/conferences">Conferences</a></li> <li><a href="https://waset.org/conference-programs">Conference Program</a></li> <li><a href="https://waset.org/committees">Committees</a></li> <li><a href="https://publications.waset.org">Publications</a></li> </ul> </div> <div class="col-md-2"> <ul class="list-unstyled"> Research <li><a href="https://publications.waset.org/abstracts">Abstracts</a></li> <li><a href="https://publications.waset.org">Periodicals</a></li> <li><a href="https://publications.waset.org/archive">Archive</a></li> </ul> </div> <div class="col-md-2"> <ul class="list-unstyled"> Open Science <li><a target="_blank" rel="nofollow" href="https://publications.waset.org/static/files/Open-Science-Philosophy.pdf">Open Science Philosophy</a></li> <li><a target="_blank" rel="nofollow" href="https://publications.waset.org/static/files/Open-Science-Award.pdf">Open Science Award</a></li> <li><a target="_blank" rel="nofollow" href="https://publications.waset.org/static/files/Open-Society-Open-Science-and-Open-Innovation.pdf">Open Innovation</a></li> <li><a target="_blank" rel="nofollow" href="https://publications.waset.org/static/files/Postdoctoral-Fellowship-Award.pdf">Postdoctoral Fellowship Award</a></li> <li><a target="_blank" rel="nofollow" href="https://publications.waset.org/static/files/Scholarly-Research-Review.pdf">Scholarly Research Review</a></li> </ul> </div> <div class="col-md-2"> <ul class="list-unstyled"> Support <li><a href="https://waset.org/page/support">Support</a></li> <li><a href="https://waset.org/profile/messages/create">Contact Us</a></li> <li><a href="https://waset.org/profile/messages/create">Report Abuse</a></li> </ul> </div> </div> </div> </div> </div> <div class="container text-center"> <hr style="margin-top:0;margin-bottom:.3rem;"> <a href="https://creativecommons.org/licenses/by/4.0/" target="_blank" class="text-muted small">Creative Commons Attribution 4.0 International License</a> <div id="copy" class="mt-2">© 2024 World Academy of Science, Engineering and Technology</div> </div> </footer> <a href="javascript:" id="return-to-top"><i class="fas fa-arrow-up"></i></a> <div class="modal" id="modal-template"> <div class="modal-dialog"> <div class="modal-content"> <div class="row m-0 mt-1"> <div class="col-md-12"> <button type="button" class="close" data-dismiss="modal" aria-label="Close"><span aria-hidden="true">×</span></button> </div> </div> <div class="modal-body"></div> </div> </div> </div> <script src="https://cdn.waset.org/static/plugins/jquery-3.3.1.min.js"></script> <script src="https://cdn.waset.org/static/plugins/bootstrap-4.2.1/js/bootstrap.bundle.min.js"></script> <script src="https://cdn.waset.org/static/js/site.js?v=150220211556"></script> <script> jQuery(document).ready(function() { /*jQuery.get("https://publications.waset.org/xhr/user-menu", function (response) { jQuery('#mainNavMenu').append(response); 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Search results for: TARCH