Sentence examples for volatility effects from inspiring English sources
Finally, the use of the DCC FIAPARCH model that explicitly accounts for long memory and asymmetric volatility effects enables the investors to effectively hedge the risk of their stock portfolios with lower costs, compared to the standard DCC GARCH model.
He found significant unidirectional volatility effects flowing from equity returns to exchange rate returns for all economies except Germany.
Fuel volatility effects are considered, including characteristics derived from molecular weight, distillation, vapor pressure, and heat of vaporization.
These effects are induced by the stochastic volatility effects in the Heston model and the J-process effects in the J-model.
To analyze the volatility effects of interest rate and exchange rate on Shari'ah screened index (KMI-30) and its conventional counterparts (KSE-100), GARCH-M model is utilized.
Consistent with Elyasiani et al. (1995) and Kasman et al. (2011) this finding implies that results regarding volatility effects on returns of both indices.
Thus, an asymmetric volatility effect exists for exchange rate returns.
The existence of an asymmetric volatility effect is again established in the APARCH model.
Thus, to incorporate the asymmetric volatility effect and eliminate the problem of nonnegativity restrictions, we estimated an EGARCH model.
The EGARCH model indicates that the oil price has a significant asymmetric volatility effect in the pre-crisis period.
Since EGARCH disregarded the possible existence of an asymmetric volatility effect, we tried another parameterization namely, TGARCH.
