autoregressive conditional heteroskedasticity
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Author(s):  
Sudhi Sharma ◽  
Miklesh Prasad Yadav ◽  
Babita Jha

The paper aims to analyse the impact of the COVID outbreak on the currency market. The study considers spot rates of seven major currencies (i.e., EUR/USD, USD/JPY, GBP/USD, AUD/USD, USD/CAD, USD/CHF, and CHF/JPY). To capture the impact of the outbreak on returns and the volatility of returns of seven currencies during pandemic, the study has segregated in two window periods (i.e., pre- [1st Jan 2019 to 31st Dec, 2019] and post-outbreak of COVID-19 [1st Jan, 2020 to 22nd Dec, 2020]). The study has applied various methods and models (i.e., econometric-based compounded annual growth rate [CAGR], dummy variable regression, and generalized autoregressive conditional heteroskedasticity [GARCH]). The result of the study captures the negative impact of the COVID-19 pandemic on three currencies—USD/JPY, AUD/USD, and USD/CHF—and positive significant impact on EUR/USD, GBP/USD, USD/CAD, and CHF/JPY. Investors can take short position in these while having long position in other currencies. The inferences drawn from the analysis are providing insight to investors and hedgers.


2021 ◽  
pp. 135481662110460
Author(s):  
Seymur Ağazade ◽  
Egemen Güneş Tükenmez ◽  
Merve Uzun

This study examines the effect of tourism source market structure on the volatility of tourism revenues in Turkey, using the number of tourists according to nationality and the data on international tourism revenues. The tourism source market structure was measured using the normalized Herfindahl–Hirschman index and the relative entropy index, which is based on the number of tourists visiting Turkey from 107 source markets. The volatility of tourism revenues and the effect of tourism source market structure on this volatility were assessed using the autoregressive conditional heteroskedasticity (ARCH) method. The results show that both variables measuring tourism source market structure affect the volatility of tourism revenues. Accordingly, the concentration of the tourism source market increases the volatility of tourism revenues, whereas source market diversification decreases it.


Author(s):  
Monika Krawiec ◽  
Anna Górska

Within the last three decades commodity markets, including soft commodities markets, have become more and more like financial markets. As a result, prices of commodities may exhibit similar patterns or anomalies as those observed in the behaviour of different financial assets. Their existence may cast doubts on the competitiveness and efficiency of commodity markets. It motivates us to conduct the research presented in this paper, aimed at examining the Halloween effect in the markets of basic soft commodities (cocoa, coffee, cotton, frozen concentrated orange juice, rubber and sugar) from 1999 to 2020. This long-time span ensures the credibility of results. Apart from performing the two-sample t-test and the rank-sum Wilcoxon test, we additionally investigate the autoregressive conditional heteroskedasticity (ARCH) effect. Its presence in our data allows us to estimate generalised autoregressive conditional heteroskedasticity [GARCH (1, 1)] models with dummies representing the Halloween effect. We also investigate the impact of the January effect on the Halloween effect. Results reveal the significant Halloween effect for cotton (driven by the January effect) and the significant reverse Halloween effect for sugar. It brings implications useful to the main actors in the market. They may apply trading strategies generating satisfactory profits or providing hedging against unfavourable changes in soft commodities prices.


2021 ◽  
Vol 7 (5) ◽  
pp. 2055-2072
Author(s):  
Sai Tang ◽  
Zhihui Wang ◽  
Jiahao Zhou ◽  
Xin Zhang

Objectives: In recent years, science and technology financial support industries are actively supporting the innovation and development of high-tech industries. In order to test the actual effect of S&T financial support industry support plan, a GARCH (Generalized AutoRegressive Conditional Heteroskedasticity) model is designed by using K-means (K-means clustering) algorithm and GM (1,1) (grey prediction) algorithm, which can quantitatively display the development of S&T financial industry to promote high-tech. The GARCH model is used to quantify the degree of innovation and development of science and technology finance industry in the Internet of Things (loT) technology. Finally, according to the quantitative data obtained by GARCH (Generalized AutoRegressive Conditional Heteroskedasticity) model, the actual effect of science and technology finance industry promoting innovation and development of high-tech is evaluated by FAHP (Fuzzy Analytic Hierarchy Process) model. The results show that science and technology finance industry plays a positive role in promoting the innovation and development of loT technology.


2021 ◽  
Vol 3 (3) ◽  
pp. 164-170
Author(s):  
Fransisca Trisnani Ardikha Putri ◽  
Etik Zukhronah ◽  
Hasih Pratiwi

Abstract– PT Jasa Marga is a great reputation company, the leader in comparable businesses, has a steady income, and paying dividends consistently. This paper aims to find the best model to forecast stock price of PT Jasa Marga using ARIMA-GARCH. The data used is daily stock price of PT Jasa Marga from March 2020 to March 2021. Autoregressive Integrated Moving Average (ARIMA) is a method that can be used to forecast stock prices. However, an economical data tend to have heteroscedasticity problems, one of the methods used to overcome them is Generalized Autoregressive Conditional Heteroskedasticity (GARCH). Future stock price of PT Jasa Marga is forecasted with ARIMA-GARCH model.  The data is modeled with ARIMA first, if there is heteroscedasticity, combine the model with GARCH model. The result of this study indicated that ARIMA (1, 1, 1) – GARCH (2, 2) is the best model, with MAPE 1,5647 Abstrak– PT Jasa Marga adalah perusahaan yang reputasinya baik, terdepan di perusahaan-perusahaan sejenis, stabil pendapatannya, dan pembayaran devidennya konsisten. Paper ini bertujuan untuk mencari model terbaik dalam meramalkan harga saham PT Jasa Marga menggunakan ARIMA-GARCH. Data harga saham yang diolah yaitu data sekunder dari PT Jasa Marga pada Maret 2020 hingga Maret 2021. Autoregressive Integrated Moving Average (ARIMA) sebagai metode yang dapat dimanfaatkan guna meramalkan harga saham. Akan tetapi, data tentang ekonomi cenderung memiliki masalah heteroskedastisitas, metode yang umum dipakai untuk mengatasinya adalah Generalized Autoregressive Conditional Heteroskedasticity (GARCH). Harga saham PT Jasa Marga diramalkan dengan model ARIMA-GARCH.  Data terlebih dahulu dimodelkan dengan ARIMA, jika didapati adanya heteroskedastisitas, maka model tersebut dikombinasikan dengan GARCH. Penelitian ini menghasilkan ARIMA (1,1,1)-GARCH(2,2) sebagai model terbaik dengan MAPE 1,5647.


2021 ◽  
Vol 9 (3) ◽  
pp. 43
Author(s):  
Loc Dong Truong ◽  
H. Swint Friday

This study investigated the impact of the introduction of the VN30-Index futures contract on the daily returns anomaly for the Ho Chi Minh Stock Exchange (HOSE). Daily returns of the VN30-Index for the period 6 February 2012 through 31 December 2019 are used in this study to ascertain the new VN30-Index futures contract influence on the day-of-the-week anomaly observed in the HOSE. To test this effect, ordinary least square (OLS), generalized autoregressive conditional heteroskedasticity [GARCH (1,1)] and exponential generalized autoregressive conditional heteroskedasticity [EGARCH (1,1)] regression models were employed. The empirical results obtained from the models support the presence of the day-of-the-week effect for the HOSE during the study period. Specifically, a negative effect was observed for Monday. However, the analysis revealed that the day-of-the-week effect was only present in stock returns for the pre-index futures period, not for the post-index futures period. These findings suggest that the introduction of the VN30-Index futures contract had a significant impact on the daily returns anomaly in Vietnam’s HOSE, providing evidence that the introduction of the index futures contract facilitated market efficiency.


2021 ◽  
Vol 9 ◽  
Author(s):  
Yinpeng Zhang ◽  
Panpan Zhu ◽  
Yingying Xu

The Bitcoin market has become a research hotspot after the outbreak of Covid-19. In this paper, we focus on the relationships between the Bitcoin spot and futures. Specifically, we adopt the vector autoregression-dynamic correlation coefficient-generalized autoregressive conditional heteroskedasticity (VAR-DCC-GARCH) model and vector autoregression-Baba, Engle, Kraft, and Kroner-generalized autoregressive conditional heteroskedasticity (VAR-BEKK-GARCH) models and calculate the hedging effectiveness (HE) value to investigate the dynamic correlation and volatility spillover and assess the risk reduction of the Bitcoin futures to spot. The empirical results show that the Bitcoin spot and futures markets are highly connected; second, there exists a bi-directional volatility spillover between the spot and futures market; third, the HE value is equal to 0.6446, which indicates that Bitcoin futures can indeed hedge the risks in the Bitcoin spot market. Furthermore, we update the data to the post-Covid-19 period to do the robustness checks. The results do not change our conclusion that Bitcoin futures can hedge the risks in the Bitcoin spot market, and besides, the post-Covid-19 results indicate that the hedging ability of Bitcoin futures increased. Finally, we test whether the gold futures can be used as a Bitcoin spot market hedge, and we further control other cryptocurrencies to illustrate the hedging ability of the Bitcoin futures to the Bitcoin spot. Overall, the empirical results in this paper will surely benefit the related investors in the Bitcoin market.


2021 ◽  
Author(s):  
Tirngo

Abstract The purpose of this study was to model and forecast volatility of returns for selected agricultural commodities prices using generalized autoregressive conditional heteroskedasticity (GARCH) models in Ethiopia. GARCH family models, specifically GARCH, threshold generalized autoregressive conditional heteroskedasticity (TGARCH) and exponential generalized autoregressive conditional heteroskedasticity (EGARCH) were employed to analyze the time varying volatility of selected agricultural commodities prices from 2011to 2021. The data analysis results revealed that, out of the GARCH specifications, TGARCH model with Normal distributional assumption of residuals was a better fit model for the price volatility of Teff and Red Pepper in which their return series reacted differently to the good and the bad news. The study indicated the presence of leverage effect which implied that the bad news could have a larger effect on volatility than the good news of the same magnitude, and the asymmetric term was found to be significant. Also, TGARCH model was found to be the accurate model for forecasting price return volatility of the same commodities, namely Teff and Red Pepper. In short, the study concludes that TGARCH was to be the best fit to model and forecast price return volatility of Teff and Red Pepper in the Ethiopian context.


2021 ◽  
Vol 39 (3) ◽  
Author(s):  
John Francis Diaz ◽  
Kai-Hong Goh, Imba Goh

This research examines the performance of return and volatility models on the long-memory, asymmetric volatility, and leverage effects by comparing the two most active futures markets globally, Currency and Index Futures. The study uses daily data from the database Quandl.com website, from January 2000 to March 2018. This study utilizes two short-memory models, the autoregressive moving average – exponential generalized autoregressive conditional heteroskedasticity (ARMA-EGARCH); and  autoregressive moving average – asymmetric power autoregressive conditional heteroskedasticity (ARMA-APARCH); and two long-memory models, autoregressive fractionally-integrated moving average – fractionally-integrated exponential generalized autoregressive conditional heteroskedasticity (ARFIMA-FIEGARCH); and autoregressive fractionally-integrated moving average – fractionally-integrated asymmetric power autoregressive conditional heteroskedasticity (ARFIMA-FIAPARCH). The paper shows that portfolio managers and traders can benefit in holding Index futures, because of their steady returns, but with a relatively higher risk for the whole sample period. The study also finds that Currency futures has better safe-haven properties during crisis period, but Index futures performs better after crisis period. Findings suggest that both long-memory models are capable of accurate forecast, especially on the volatility of Currency and Index futures. The proper modelling of Currency and Index futures time-series data can provide traders, fund managers and investors in creating well-defined trading strategies, especially in high volatility regimes.


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