Suggested statistical model for describing the fluctuations in the conditional variation with application on the general index of the Egyptian capital market /
Suggested statistical model for describing the fluctuations in the conditional variation with application on the general index of the Egyptian capital market /
Amr Ibrahim Abdelrahman Elatraby, Ahmed Fathy Abdelaal Elwaqdy.
- Allahabad, India : Pushpa Publishing House Vijaya Niwas, 2014.
- volumes ; 21 cm.
- irregular.
ABSTRACT This study evaluates the performance of a group of ARCH and GARCH forecasting volatility models. The study also compares the performance of these models and tries to determine the best model according to some criteria. The study investigates the performance of ten models to predict the volatility. They are: ARCH, GARCH and IGARCH representing symmetric models and TARCH, APARCH, TGARCH, PGARCH, EGARCH, CGARCH and CTGARCH representing asymmetric models, with three distributions (Normal, Students t and Generalized Error Distribution). The conditional variance was entered and also the square root of the conditional variance as explanatory variable in the conditional mean equation for each of them. Noting that we dealt the models CGARCH and CTGARCH with only first order for the two parameters: AR(p) and MA(q). This study was performed on all indices separately because these indices differ in terms of properties and range of the data used in the study. The study suggesed the models providing accurate descriptions and forecasts. Suggested statistical model for describing the fluctuations in the conditional variation with application on the general index of the Egyptian capital market - ResearchGate. Available from: http://www.researchgate.net/publication/267141869_Suggested_statistical_model_for_describing_the_fluctuations_in_the_conditional_variation_with_application_on_the_general_index_of_the_Egyptian_capital_market [accessed Aug 9, 2015]. Advances and Applications in Statistics. Aims and Scope : ... which publishes original research papers and survey articles in all aspects of (Theoretical and Applied) Statistics. ... Vijaya Niwas, 198, Mumfordganj. Allahabad 211 002, INDIA . kkazad@pphmj.com.
09723617
Capital market--Egypt--Statistics--Periodicals.
Saving and investment--Egypt--Statistics--Periodicals.
Statistics--Periodicals.
Stock exchanges--Egypt--Statistics--Periodicals.
332.12096205
ABSTRACT This study evaluates the performance of a group of ARCH and GARCH forecasting volatility models. The study also compares the performance of these models and tries to determine the best model according to some criteria. The study investigates the performance of ten models to predict the volatility. They are: ARCH, GARCH and IGARCH representing symmetric models and TARCH, APARCH, TGARCH, PGARCH, EGARCH, CGARCH and CTGARCH representing asymmetric models, with three distributions (Normal, Students t and Generalized Error Distribution). The conditional variance was entered and also the square root of the conditional variance as explanatory variable in the conditional mean equation for each of them. Noting that we dealt the models CGARCH and CTGARCH with only first order for the two parameters: AR(p) and MA(q). This study was performed on all indices separately because these indices differ in terms of properties and range of the data used in the study. The study suggesed the models providing accurate descriptions and forecasts. Suggested statistical model for describing the fluctuations in the conditional variation with application on the general index of the Egyptian capital market - ResearchGate. Available from: http://www.researchgate.net/publication/267141869_Suggested_statistical_model_for_describing_the_fluctuations_in_the_conditional_variation_with_application_on_the_general_index_of_the_Egyptian_capital_market [accessed Aug 9, 2015]. Advances and Applications in Statistics. Aims and Scope : ... which publishes original research papers and survey articles in all aspects of (Theoretical and Applied) Statistics. ... Vijaya Niwas, 198, Mumfordganj. Allahabad 211 002, INDIA . kkazad@pphmj.com.
09723617
Capital market--Egypt--Statistics--Periodicals.
Saving and investment--Egypt--Statistics--Periodicals.
Statistics--Periodicals.
Stock exchanges--Egypt--Statistics--Periodicals.
332.12096205