Autoregressive conditional heteroskedasticity

The density forecast of a random variable is an estimation based on the past observed data. This is a symmetric interval prediction which means that the outcomes will fall into an interval that is a band of plus/minus a fixed times of standard errors. The estimation provides a probability distribution of all possible future values of that variable. Over the past decades, the price density forecast has been widely used to study microeconomic and financial issues. Forecasting the future development

COMPUTATIONAL TECHNIQUES IN BUSINESS USD/CAD EXCHANGE RATE VOLATILITY Name: Raghav Verma College Roll no.2242 Examination Roll no.10830 Enrolment Number:2K10BE2242 Email id: vermaraghav@hotmail.co.in BBE 5th Semester College: College of Vocational Studies, Delhi University Triveni, Sheikh Sarai Phase-2 New Delhi

Power PLC shares. I will examine some of the different Statistical Modelling techniques and evaluate the merits of each in turn. I will use the Generalised Autoregressive Conditional Heteroskedasticity (GARCH) model if it is found that the variance of the time series is non-constant. My final forecasting model will primarily use the Autoregressive Integrated Moving Average (ARIMA) model to predict future closing prices of the share, with a GARCH model of the variance incorporated. I will use the R

Kitov & Kitov (2011) provided an empirical model to check the impact of inflation and unemployment reactions to changes in the labor force in Switzerland using data from 1965 to 2010. Their overall, findings established that there exist long term equilibrium relations between the rate of labor force change and inflation rate. AMINU (2012) investigated the relationship between unemployment and inflation in Nigeria economy between 1977 and 2009. The results indicate that inflation had a negative impact

FOREIGN DIRECT INVESTMENT IN SAUDI ARABIA-AN ECONOMIC DEVELOPMENT PERSPECTIVE Khalid Alkhathlan, Department of Economics, King Saud University, Riyadh, KSA Md.Tarique, College of Business Administration, Al-Kharj, King Saud University, Riyadh, KSA. ABSTRACT Foreign Direct Investment (FDI) plays an important role in stimulating the growth potentials and providing stability to the economy of Saudi Arabia. Our findings show that there are mainly four factors which determine the net FDI flow

(Brooks, 2010, pp. 380). The most commonly used financial models to measure volatility are the non-linear ARCH and GARCH models. 2 y t = f (e t , et −1 , et − 2 ,...) y t = g (et −1 , et −2 ,...) + et σ 2 (et −1 , et − 2 ,...) 2.1. The autoregressive conditional heteroscedasticity model (ARCH) One of the fundamental hypotheses of the classical regression model is the homoscedasticity or the hypothesis of constant error variance: var(et ) = σ 2 (et ) , where et ~ N (0, σ 2 ) . The opposite case

1 Introduction The foreign exchange rate is the rate when domestic currency (for example, Chinese yuan) is used to exchange foreign currency (for example, us dollar). Volatility of exchange rate has been Kamble and Honrao (2014) defined as ?the risk associated with unexpected movements in the exchange rate.? The volatility of exchange rate has great impacts on international trade and cross-country investment. The increased importance being attached to exchange rate is a result of the globalisation

Student Number: 159006900 Estimating Exchange Rate Volatility with GARCH Models Master of Business Analysis and Finance 2016 Department of Economics, University of Leicester 159006900 1 Introduction ?The increased importance being attached to exchange rates is a result of the globalisation of modern business, the continuing growth in world trade relative to national economies, the trend towards economic integration and the rapid pace of change in the technology of money transfer.? (Copeland,

Reserve Bank of India Occasional Papers Vol. 24, No. 3, Winter 2003 Derivatives and Volatility on Indian Stock Markets Snehal Bandivadekar and Saurabh Ghosh * Derivative products like futures and options on Indian stock markets have become important instruments of price discovery, portfolio diversification and risk hedging in recent times. This paper studies the impact of introduction of index futures on spot market volatility on both S&P CNX Nifty and BSE Sensex using ARCH/GARCH technique.

A STUDY ON STOCK MARKET RETURN, VOLATILITY AND CORRELATION ANALYSIS AMONG INDIAN & ASIAN STOCK MARKETS Dr.M.Sumathy1 Associate professor, Department of commerce, Bharathiar University, Coimbatore-46, Tamil Nadu,India. B.Ramya2 M.Phil Research Scholar, Department of Commerce, Bharathiar University, Coimbatore-641046, Tamil Nadu, India. bramyaca@gmail.com ABSTRACT The stock market is witnessing keen activities and is gradually more gaining Importance. Post the1997 East Asian