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Journal articles on the topic 'Time-series analysis. Heteroscedasticity'

Author: Grafiati

Published: 4 June 2021

Last updated: 13 February 2022

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1

Ghosh, Himadri, G. Sunilkumar, and Prajneshu. "Mixture Nonlinear Time-Series Analysis : Modelling and Forecasting." Calcutta Statistical Association Bulletin 57, no. 1-2 (2005): 95–108. http://dx.doi.org/10.1177/0008068320050108.

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Gaussian mixture transition distribution (GMTD) models and mixture autoregressive (MAR) models are generally employed to describe those data sets that depict sudden bursts, outliers and flat stretches at irregular time epochs. In this paper , these two approaches are compared by considering weekly wholesale onion price data during April, 1998 to November, 2001. After eliminating trend, seasonal fluctuations are studied by fitting BoxJenkins airline model to residual series. To this end, null hypothesis of presence of nonseasonal and seasonal stochastic trends is tested by using OsboruChuiSm

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Kokoszka, Piotr, Gregory Rice, and Han Lin Shang. "Inference for the autocovariance of a functional time series under conditional heteroscedasticity." Journal of Multivariate Analysis 162 (November 2017): 32–50. http://dx.doi.org/10.1016/j.jmva.2017.08.004.

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Hasanah, Primadina, Siti Qomariyah Nasir, and Subchan Subchan. "Gold Return Volatility Modeling Using Garch." Indonesian Journal of Mathematics Education 2, no. 1 (2019): 20. http://dx.doi.org/10.31002/ijome.v2i1.1222.

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<p class="JRPMAbstractBodyEnglish">This research aims to resolve the heteroscedasticity problem in time series data by modeling and analyzing volatility the gold return using GARCH models. Heteroscedasticity means not the constant variance of residuals. The sample data is a return data from January 1, 2014 to September 23, 2016. The data analysis technique used is a stationary test, model identification, model estimation, diagnostic check, heteroscedasticity test, GARCH model estimation, and evaluation. The results showed that ARIMA (3,0,3)-GARCH (1.1) is the best model.</p>

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Kasse, Irwan, Andi Mariani, Serly Utari, and Didiharyono D. "Investment Risk Analysis On Bitcoin With Applied of VaR-APARCH Model." JTAM (Jurnal Teori dan Aplikasi Matematika) 5, no. 1 (2021): 1. http://dx.doi.org/10.31764/jtam.v5i1.3220.

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Investment can be defined as an activity to postpone consumption at the present time with the aim to obtain maximum profits in the future. However, the greater the benefits, the greater the risk. For that we need a way to predict how much the risk will be borne. Modelling data that experiences heteroscedasticity and asymmetricity can use the Asymmetric Power Autoregressive Conditional Heteroscedasticity (APARCH) model. This research discusses the time series data risk analysis using the Value at Risk-Asymmetric Power Autoregressive Conditional Heteroscedasticity (VaR-APARCH) model using the da

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WU, EDMOND H. C., PHILIP L. H. YU, and W. K. LI. "VALUE AT RISK ESTIMATION USING INDEPENDENT COMPONENT ANALYSIS-GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (ICA-GARCH) MODELS." International Journal of Neural Systems 16, no. 05 (2006): 371–82. http://dx.doi.org/10.1142/s0129065706000779.

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We suggest using independent component analysis (ICA) to decompose multivariate time series into statistically independent time series. Then, we propose to use ICA-GARCH models which are computationally efficient to estimate the multivariate volatilities. The experimental results show that the ICA-GARCH models are more effective than existing methods, including DCC, PCA-GARCH, and EWMA. We also apply the proposed models to compute value at risk (VaR) for risk management applications. The backtesting and the out-of-sample tests validate the performance of ICA-GARCH models for value at risk esti

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L., Wiri, Sibeate P.U., and Isaac D.E. "Markov Switching Intercept Vector Autoregressive Model (MSI(2)-VAR(2)) of Nigeria Inflation Rate and Crude Oil Price (Using Views 11)." African Journal of Mathematics and Statistics Studies 4, no. 2 (2021): 88–100. http://dx.doi.org/10.52589/ajmss-vy1oocxz.

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To model inflation rate and crude oil prices, we used Markov Switching intercept heteroscedasticity Vector Autoregressive models. The data for this analysis was gathered from the Central Bank of Nigeria Statistical Bulletin monthly. The upward and downward movement in the series revealed by the time plot suggests that the series exhibit a regime-switching pattern: the period of expansion and contraction. The variable was stationary at first differences, the Augmented Dickey-Fuller test was used to screen for stationarity. The information criteria were used to test the number of regime and regi

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Xie, Pin Jie, Chen Chen Huang, and Xian You Pan. "Characteristic Analysis of the Electricity Price Fluctuation: An Empirical Analysis Based on California’s Day-Ahead Market." Advanced Materials Research 1070-1072 (December 2014): 1534–40. http://dx.doi.org/10.4028/www.scientific.net/amr.1070-1072.1534.

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The paper deals with the Day-ahead Market of California between Apr. 1st, 1998 and Jan. 31, 2001 and divided each day to high-load period and low-load period, described the characteristics of electricity price fluctuation by ARCH models. The results showed that ARCH models under t-distribution matched the volatility of the sample series quite well, captured the series’ heteroscedasticity and the obvious peak and fat tail effectively; the total risk of the day-ahead market in the sample was high, the impacts from external information on the conditional variances was permanent and sustainable, t

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Orman, Turgut, and İlkay Dellal. "Cointegration Analysis of Exchange Rate Volatility and Agricultural Exports in Turkey: an Ardl Approch." Turkish Journal of Agriculture - Food Science and Technology 9, no. 6 (2021): 1180–85. http://dx.doi.org/10.24925/turjaf.v9i6.1180-1185.4456.

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This study aims to reveal the impact of exchange rate volatility on agricultural exports of Turkey by using the Autoregressive Distributed Lag Model. While quarterly time series data covering period of 2001: Q1 to 2018: Q4 were used to carry out analyses, Exponential Generalized Autoregressive Conditional Heteroscedasticity (1.1) is used to acquire exchange rate volatility series. The research findings showed that agricultural export is cointegrated with exchange rate volatility, producer price index and real effective exchange rate. Furthermore, our findings indicate that increases in real ef

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Akbar, Dody, Sarce B. Awom, and Siti Aisah Bauw. "Pengaruh Pendidikan Dan Kesehatan Terhadap Pertumbuhan Ekonomi Di Kabupaten Teluk Bintuni Periode 2010-2018." JFRES: Journal of Fiscal and Regional Economy Studies 4, no. 1 (2021): 8–14. http://dx.doi.org/10.36883/jfres.v4i1.45.

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This study aims to determine the effect of education and health on economic growth in Teluk Bintuni Regency for the 2010-2018 period. This type of research is quantitative research. This research uses time series data and secondary data collection techniques. Analysis of the data using the Coefficient of Determination Test Heteroscedasticity Test f Test t test. The results of this study show (X1) Education and (X2) Health have a positive and significant effect on (Y) Economic Growth.

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Sun, Kaiying. "Equity Return Modeling and Prediction Using Hybrid ARIMA-GARCH Model." International Journal of Financial Research 8, no. 3 (2017): 154. http://dx.doi.org/10.5430/ijfr.v8n3p154.

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In this paper, a hybrid ARIMA-GARCH model is proposed to model and predict the equity returns for three US benchmark indices: Dow Transportation, S&P 500 and VIX. Equity returns are univariate time series data sets, one of the methods to predict them is using the Auto-Regressive Integrated Moving Average (ARIMA) models. Despite the fact that the ARIMA models are powerful and flexible, they are not be able to handle the volatility and nonlinearity that are present in the time series data. However, the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models are designed to c

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Li, Xuedi, Jie Ma, Zhu Chen, and Haitao Zheng. "Linkage Analysis among China’s Seven Emissions Trading Scheme Pilots." Sustainability 10, no. 10 (2018): 3389. http://dx.doi.org/10.3390/su10103389.

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This paper focuses on the time-varying correlation among China’s seven emissions trading scheme markets. Correlation analysis shows a weak connection among these markets for the whole sample period, which spans from 9 June 2014 to 30 June 2017. The return rate series of the seven markets show the characteristics of a fat-tailed and skewed distribution, and the Vector Autoregression (VAR) residuals present a significant Autoregressive Conditional Heteroscedasticity (ARCH) effect. Therefore, we adopt Vector Autoregression Generalized ARCH model with Dynamic Conditional Correlation (VAR-DCC-GARCH

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Kobayashi, Daiki, Hana Hayashi, Hironori Kuga, et al. "Alcohol consumption behaviours in the immediate aftermath of earthquakes: time series study." BMJ Open 9, no. 3 (2019): e026268. http://dx.doi.org/10.1136/bmjopen-2018-026268.

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ObjectivesEarthquakes are a distressing natural phenomenon that can disrupt normal health-related behaviours. The aim of this study was to investigate changes in alcohol consumption behaviours in the immediate aftermath of mild to moderate earthquakes.SettingThis retrospective cohort study was conducted at a large academic hospital in Tokyo, Japan from April 2004 to March 2017.ParticipantsWe included all adult patients presenting with acute alcohol intoxication in the emergency room.Primary and secondary outcome measuresOur outcome was the number of such patients per 24 hours period comparing

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Antunes, José Leopoldo Ferreira. ""Grow and multiply": social development, birth rates and demographic transition in the Municipality of São Paulo, Brazil, time-series for 1901-94." Revista Brasileira de Epidemiologia 1, no. 1 (1998): 61–78. http://dx.doi.org/10.1590/s1415-790x1998000100007.

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This study reports the construction of time-series related to standardized mortality rate, proportional mortality ratio of Swaroop and Uemura, infant mortality rate, fetal death rate, expectation of life at birth and birth rate for the city of São Paulo, SP, Brazil, from 1901 to 1994. In order to determine the structural variation of these measures, the model, forecast and correlation of these series were submitted to statistical analysis. The results obtained were compared to the historical analysis of the major socioe-conomic phenomena during this period in an effort to explain populational

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Kamarianakis, Yiannis, Angelos Kanas, and Poulicos Prastacos. "Modeling Traffic Volatility Dynamics in an Urban Network." Transportation Research Record: Journal of the Transportation Research Board 1923, no. 1 (2005): 18–27. http://dx.doi.org/10.1177/0361198105192300103.

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This article discusses the application of generalized autoregressive conditional heteroscedasticity (GARCH) time series models for representing the dynamics of traffic flow volatility. The methods encountered in the literature focus on the levels of traffic flows and assume that variance is constant through time. The approach adopted in this paper concentrates primarily on the autoregressive properties of traffic variability, with the aim to provide better confidence intervals for traffic flow forecasts. The model-building procedure is illustrated with 7.5-min average traffic flow data for a s

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Nadirah Mohd Johari, Sarah, Fairuz Husna Muhamad Farid, Nur Afifah Enara Binti Nasrudin, Nur Sarah Liyana Bistamam, and Nur Syamira Syamimi Muhammad Shuhaili. "Predicting Stock Market Index Using Hybrid Intelligence Model." International Journal of Engineering & Technology 7, no. 3.15 (2018): 36. http://dx.doi.org/10.14419/ijet.v7i3.15.17403.

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Predicting financial market changes is an important issue in time series analysis, receiving an increasing attention due to financial crisis. Autoregressive integrated moving average (ARIMA) model has been one of the most widely used linear models in time series forecasting but ARIMA model cannot capture nonlinear patterns easily. Generalized autoregressive conditional heteroscedasticity (GARCH) model applied understanding of volatility depending to the estimation of previous forecast error and current volatility, improving ARIMA model. Support vector machine (SVM) and artificial neural networ

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Poměnková, Jitka, Eva Klejmová, and Tobiáš Malach. "Optimized Segmentation-Adaptive-Based Testing of the Wavelet Co-movement Analysis: the Case of US and G8 Countries." ITM Web of Conferences 24 (2019): 01003. http://dx.doi.org/10.1051/itmconf/20192401003.

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The paper deals with the identification and the description of the co-movement between the US and G8 countries with regard to the impact of the structural change, i.e. the financial crisis in 2008. For the identification of the co-movement, we use an optimized segmentation-adaptive-based approach (SAB) of significance testing of the power wavelet cross-spectrum. The SAB testing is based on the standard testing for the power wavelet cross-spectrum adapted for the case if the data have several levels of volatility during the time evolution, i.e. the data can be split into several segments with d

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Cheng, Cong, Ling Yu, and Liu Jie Chen. "Structural Nonlinear Damage Detection Based on ARMA-GARCH Model." Applied Mechanics and Materials 204-208 (October 2012): 2891–96. http://dx.doi.org/10.4028/www.scientific.net/amm.204-208.2891.

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Two economic models, i.e. auto-regressive and moving average model (ARMA) and generalized auto-regressive conditional heteroscedasticity model (GARCH), are adopted to assess the conditions of structures and to detect structural nonlinear damage based on time series analysis in this study. To improve the reliability of the method for nonlinear damage detection, a new damage sensitive feature (DSF) for the ARMA-GARCH model is defined as a ratio of the standard deviation of the variance time series of ARMA-GARCH model residual errors in test condition to ones in reference condition. Compared to t

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Ogbeide, F. N., J. O. Ehiorobo, O. C. Izinyon, and I. R. Ilaboya. "A Qualitative Study of Time Overrun of Completed Road Projects Awarded by the Niger Delta Development Commission in the Niger Delta Region of Nigeria." March 2021 5, no. 1 (2021): 271–80. http://dx.doi.org/10.36263/nijest.2021.01.0269.

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Time overrun of completed road projects awarded by the Niger Delta Development Commission (NDDC) in the Niger Delta Region of Nigeria from its inception in 2000 up to 2015 was studied. Out of 3315 roads awarded, only 1081 roads representing 31.65 percent were completed within the review period. The qualitative study was carried out on randomly selected completed 162 road projects for analysis, and a conceptual model of time series was developed. In developing the regression model, both dependent and independent variables were subjected to normality tests assessed by skewness coefficient, kurto

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Mofema, Victor Mbua, and Gisele Mah. "An empirical analysis of volatility in South African oil prices." Journal of Energy in Southern Africa 32, no. 3 (2021): 67–75. http://dx.doi.org/10.17159/2413-3051/2021/v32i3a8852.

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Volatility of the oil price has been around since the 1970s and an understanding of how it evolves provides insight into solving macroeconomic challenges. The main objective of this study was to analyse the volatility of South African oil prices using quarterly time series data from 2000 to 2020. The effect of growth in gross domestic product per capita, interest rate, inflation and money supply growth on oil price changes was assessed. Generalised autoregressive conditional heteroscedasticity (GARCH) was estimated and diagnostic tests – namely ARCH, normality and autocorrelation tests – were

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Liu, Meili, Liwei Wang, Chun-Te Lee, and Jeng-Eng Lin. "Volatility Analysis and Visualization of Climate Data Based on Wavelets." Journal of Mathematics Research 13, no. 4 (2021): 50. http://dx.doi.org/10.5539/jmr.v13n4p50.

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In this article, we analyze the real meteorological data recorded by Wenzhou Meteorological Bureau from 1951 to 1997. The data has not been used elsewhere and is available at Meteorological Station Wenzhou (ID: CHM00058659) at https://geographic.org/global_weather/china. We perform the time series volatility analysis including ARMA, ARIMA, ARCH-LM, PARCH, SARMA and Morlet wavelet analysis and use the Mann-Kendall (M-K) test to analyze both the trend and mutation defined by statistics sequence. In addition, a Morete wavelet time-frequency model is established to show that both the precipitation

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Setiawan, Edi, Faizal Ridwan Zamzani, and Nur Fitri Amelia. "CASH POSITION, DEBT TO EQUITY RATIO, RETURN ON ASSET DAN FIRM SIZE TERHADAP DIVIDENT PAYOUT RATIO." JURNAL NUSANTARA APLIKASI MANAJEMEN BISNIS 3, no. 1 (2018): 78. http://dx.doi.org/10.29407/nusamba.v3i1.11980.

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This research is aimed to knowing and analyzing the effect of the cash position, debt to equity ratio, return on asset and firm size to divident payout ratio. The type of data used in this study is pool data which is a combination time series, and cross section. panel data regression anlaysis test, election panel data reression estimation techniques, heteroscedasticity test, regression model analysis, and regression model testin and regression coefficients. The result showed that the partial debt to equity ratio and firm size no significantly influence the divident payout ratio, while the cash

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Abdul Halim, Nurfadhlina, Agus Supriatna, and Adhy Prasetyo. "Estimation of the Value-at-Risk (VaR) Using the TARCH Model by Considering the Effects of Long Memory in Stock Investments." Operations Research: International Conference Series 1, no. 1 (2020): 34–43. http://dx.doi.org/10.47194/orics.v1i1.22.

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Value at Risk (VaR) is one of the standard methods that can be used in measuring risk in stock investments. VaR is defined as the maximum possible loss for a particular position or portfolio in the known confidence level of a specific time horizon. The main topic discussed in this thesis is to estimate VaR using the TARCH (Threshold Autoregressive Conditional Heteroscedasticity) model in a time series by considering the effect of long memory. The TARCH model is applied to the daily log return data of a company's stock in Indonesia to estimate the amount of quantile that will be used in calcula

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Santoso, Michael Alexander, Apriani Dorkas Rambu Atahau, and Robiyanto Robiyanto. "IHSG dan Dinamikanya: Sebuah Analisis atas Pengaruh Variable Makroekonomi." Jurnal Pasar Modal dan Bisnis 1, no. 1 (2019): 21–40. http://dx.doi.org/10.37194/jpmb.v1i1.6.

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Purpose- This research aimed to study the effect of macroeconomic variables: Dow Jones Industrial Average, USD/IDR, and World Crude Oil Price towards Jakarta Composite Index (JCI) during the period of 2005-2016. Methods- This research using the daily closing prices of Dow Jones Industrial Average (JCI), USD/IDR, World Crude Oil Price, and Jakarta Composite Index, the GARCH (1,1) The data analysis technique used in this study is Generalized Autoregressive Conditional Heteroscedasticity (GARCH). The reason for choosing the GARCH analysis technique is that this study uses time series data w

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Chaerunisak, Uum Helmina, Dewi Kusuma Wardani, and Zara Tri Prihatiningrum. "PENGARUH CAPITAL ADEQUACY RATIO (CAR) DAN BIAYA OPERASIONAL PENDAPATAN OPERASIONAL (BOPO) TERHADAP KINERJA BANK SYARIAH." JURNAL SOSIAL EKONOMI DAN HUMANIORA 5, no. 2 (2019): 203–15. http://dx.doi.org/10.29303/jseh.v5i2.62.

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This study aims to determine the effect of capital adequacy ratio, financing to deposite ratio and operating costs of operating income on healthy returns on. This study uses data which is a time series cross section data from sharia banking statistics from 2015-2018 and 2019 (only January to August because the most recent data) is registered with Otoritas Jasa Keuangan (OJK). Data collection methods in this study used purposive sampling. Analysis of the data used is multiple linear regression. The classic assumption tests used in this study are the normality test, the multicollinearity test, t

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Kunwar, Keshar Bahadur. "Impact of Government Expenditure in Economic Growth of Nepal: ARDL Approach." Contemporary Research: An Interdisciplinary Academic Journal 3, no. 1 (2019): 33–40. http://dx.doi.org/10.3126/craiaj.v3i1.27488.

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Public expenditure refers to the expenditure made by public authority, i.e., central government and other local bodies to carter the demand of the people. It is for protecting the citizens and for promoting their economic and social welfare. Public expenditure is one of the instruments through which government influence economic events. The specific objective of this paper is to analyze the long run and short run relationship between public expenditure and economic growth in Nepal and to examine the Causal relationship between the public expenditure and economic growth in Nepal. The study empl

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Liu, Pengfei, and Han-Sol Lee. "Foreign direct investment (FDI) and economic growth in China: vector autoregressive (VAR) analysis." SHS Web of Conferences 80 (2020): 01002. http://dx.doi.org/10.1051/shsconf/20208001002.

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This study examines the impact of foreign direct investment (FDI) on economic growth in China based on time series data for the period 1981-2018. For an empirical study, we used vector autoregressive (VAR) analysis. Before building our VAR model, we performed tests for unit root, normality, and heteroscedasticity to certify the data quality. The optimal lag 3 was selected using the Akaike information criterion (AIC), Schwartz (SC), and Hannan-Quinn (HQ) criteria. The Granger causality test is additionally performed. Based on the VAR model, we determined the impulse responses and variance decom

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Yin, Zheng, Conall O’Sullivan, and Anthony Brabazon. "An Analysis of the Performance of Genetic Programming for Realised Volatility Forecasting." Journal of Artificial Intelligence and Soft Computing Research 6, no. 3 (2016): 155–72. http://dx.doi.org/10.1515/jaiscr-2016-0012.

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AbstractTraditionally, the volatility of daily returns in financial markets is modeled autoregressively using a time-series of lagged information. These autoregressive models exploit stylised empirical properties of volatility such as strong persistence, mean reversion and asymmetric dependence on lagged returns. While these methods can produce good forecasts, the approach is in essence atheoretical as it provides no insight into the nature of the causal factors and how they affect volatility. Many plausible explanatory variables relating market conditions and volatility have been identified i

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Zolna, Konrad, Phong B. Dao, Wieslaw J. Staszewski, and Tomasz Barszcz. "Nonlinear Cointegration Approach for Condition Monitoring of Wind Turbines." Mathematical Problems in Engineering 2015 (2015): 1–11. http://dx.doi.org/10.1155/2015/978156.

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Monitoring of trends and removal of undesired trends from operational/process parameters in wind turbines is important for their condition monitoring. This paper presents the homoscedastic nonlinear cointegration for the solution to this problem. The cointegration approach used leads to stable variances in cointegration residuals. The adapted Breusch-Pagan test procedure is developed to test for the presence of heteroscedasticity in cointegration residuals obtained from the nonlinear cointegration analysis. Examples using three different time series data sets—that is, one with a nonlinear quad

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Tadesse, Kassahun Birhanu, and Megersa Olumana Dinka. "Application of SARIMA model to forecasting monthly flows in Waterval River, South Africa." Journal of Water and Land Development 35, no. 1 (2017): 229–36. http://dx.doi.org/10.1515/jwld-2017-0088.

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AbstractKnowledge of future river flow information is fundamental for development and management of a river system. In this study, Waterval River flow was forecasted by SARIMA model using GRETL statistical software. Mean monthly flows from 1960 to 2016 were used for modelling and forecasting. Different unit root and Mann–Kendall trend analysis proved the stationarity of the observed flow time series. Based on seasonally differenced correlogram characteristics, different SARIMA models were evaluated; their parameters were optimized, and diagnostic check up of forecasts was made using white nois

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Gupta, Mohini, and Sakshi Varshney. "Exchange Rate Volatility and Import Trade Flow Evidence From India-U.S. at Industry Level." International Journal of Asian Business and Information Management 12, no. 3 (2021): 1–21. http://dx.doi.org/10.4018/ijabim.20210701.oa25.

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The centre interest of the study is to explore the impact of exchange rate volatility on the India-U.S. trade flow of Import on 6 industries spanned from September 2002 to June 2019. We investigate the relationship at disaggregate level by industry-wise data with monthly frequency. We employ exponential generalized autoregressive conditional heteroscedasticity (E-GARCH) model to gauge volatility and thereafter ARDL bound testing approach to unveil the short and long-run association of real exchange rate volatility and import. The empirical analysis implies the existence of both short-run and l

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Mulyanah, Sri Nurul, and Abitur Asianto. "Value at Risk Analysis towards Automotive Sub Sector Shares and its Components at Indonesia Stock Exchange." Volume 5 - 2020, Issue 8 - August 5, no. 8 (2020): 799–807. http://dx.doi.org/10.38124/ijisrt20aug429.

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The purpose from this research was to analyzed those optimum model with Autoregressive Conditional Heteroscsedasticity - Generalized Autoregressive Conditional Heteroscedasticity (ARCH-GARCH) from automotive sector shares and estimated the calculation investment risk analysis the Value at Risk method approach used 95% confidence level and holding period which provides information on maximum potential loss towards stock return value. Data From these research was secondary data for time series in form of monthly Shares return value from Astra Internasional, Astra Otoparts, Goodyear Indonesia, Ga

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Lumban Gaol, Elisabeth, Armen Mara, and Riri Oktari Ulma. "ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI PRODUKSI BOKAR (BAHAN OLAH KARET) DI KABUPATEN BATANGHARI." JALOW | Journal of Agribusiness and Local Wisdom 3, no. 1 (2020): 38–49. http://dx.doi.org/10.22437/jalow.v3i1.9790.

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This study aims to (1) the progress bokar production, the land area to produce crops, the land area of old plants, the amount of labor, rainfall and number of days of rain in Batanghari regency during the period 2001 to 2015 (2) Determine how much influence hectarage produce, the land area of old plants, the amount of labor, rainfall and number of days of rain to the production bokar in Batanghari regency during the period 2001-2015. The data used in this research is secondary data time series (time series) for 5 years (2001-2015). Test data is stationary using the unit root test Phillip P

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Ayele, Amare Wubishet, Emmanuel Gabreyohannes, and Yohannes Yebabe Tesfay. "Macroeconomic Determinants of Volatility for the Gold Price in Ethiopia: The Application of GARCH and EWMA Volatility Models." Global Business Review 18, no. 2 (2017): 308–26. http://dx.doi.org/10.1177/0972150916668601.

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Modelling and forecasting of commodity price volatility has important applications for asset management, portfolio analysis and risk assessment due to the simple fact that volatility has informational content and contains signals of the market information flow. This article models and forecasts the gold price volatility using the exponentially weighted moving average (EWMA) and the generalized autoregressive conditional heteroscedasticity (GARCH) models for the period from 1998 to 2014. The gold series shows the classical characteristics of financial time series, such as leptokurtic distributi

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LUX, THOMAS, and MICHELE MARCHESI. "VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS." International Journal of Theoretical and Applied Finance 03, no. 04 (2000): 675–702. http://dx.doi.org/10.1142/s0219024900000826.

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The finding of clustered volatility and ARCH effects is ubiquitous in financial data. This paper presents a possible explanation for this phenomenon within a multi-agent framework of speculative activity. In the model, both chartist and fundamentalist strategies are considered with agents switching between both behavioural variants according to observed differences in pay-offs. Price changes are brought about by a market maker reacting to imbalances between demand and supply. Most of the time, a stable and efficient market results. However, its usual tranquil performance is interspersed by sud

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Afdal, Afyana, and Mike Triani. "ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI PERTUMBUHAN EKONOMI DI KAB/KOTA SUMATERA BARAT." Jurnal Ecogen 1, no. 3 (2019): 616. http://dx.doi.org/10.24036/jmpe.v1i3.5035.

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the government in the economic sector towards economic growth in West Sumatra. This type of research is descriptive and associative, namely research that describes research variables and finds the presence or absence of the influence of variables with independent variables. Data type is secondary data (Pool Time Series). The data writing technique in this research is literature study and documentation from 2012 to 2016. Descriptive and inductive data analysis are: Classical Assumption Test (Heteroscedasticity Test), Panel Regression Model, T Test and F Test.The results of this study conclude t

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Falianty, Telisa Aulia. "Tinjauan terhadap Metode Ekonometrika Lanjutan." Jurnal Ekonomi dan Pembangunan Indonesia 4, no. 1 (2003): 59–74. http://dx.doi.org/10.21002/jepi.v4i1.133.

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Econometric models have been played an increasingly important role in empirical analysis in economics. This paper provides an overview on some advanced econometric methods that increasingly used in empirical studies.A panel data combines features of both time series and cross section data. Because of increasing availability of panel data in economic sciences, panel data regression models are being increasingly used by researcher. Related to panel data model, there are some methods that will be discussed here such as fixed effect and random effect. A new approach to panel data that developed by

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Firdhania, Riza, and Fivien Muslihatinningsih. "Faktor-Faktor yang Mempengaruhi Tingkat Pengangguran di Kabupaten Jember." e-Journal Ekonomi Bisnis dan Akuntansi 4, no. 1 (2017): 117. http://dx.doi.org/10.19184/ejeba.v4i1.4746.

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This research describes the relation between variables of population, inflation, minimum wage, economic growth, and humandevelopment index toward the unemployment rate in Jember. The type of data used in this research was secondary data in theform of ‘time series’ obtained from Jember Department of Labor and Central Bureau of Statistics in the year of 2002-2013.The research method was a kind of statistical descriptive analysis and multiple linear regression analysis. Moreover, theresearcher used partial test (T-test), simultaneous test (F-test), and coefficients determination test (R2) for the

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Rani Wulantari, Meidy Haviz, and Ade Yunita Mafruhat. "Pengaruh Pendapatan Asli Daerah (PAD), Dana Alokasi Umum (DAU), dan Penanaman Modal Dalam Negeri (PMDN) terhadap Produk Domestik Regional Bruto (PDRB) Provinsi Jawa Barat 2003-2017." Jurnal Riset Ilmu Ekonomi dan Bisnis 1, no. 1 (2021): 34–41. http://dx.doi.org/10.29313/jrieb.v1i1.62.

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Abstract. This study aims to identify and analyze how and how much influence PAD, DAU, and PMDN on West Java Province GRDP 2003-2017. The research method used is quantitative and qualitative methods. The type and source of data used are secondary data obtained from BPS based on time series and cross sections, which is 15 years. The analytical method used is the Ordinary Least Square (OLS) method using the Eviews version 9.0 program. The tests performed are classical assumptions (Multicollinearity, Autocorrelation, Heteroscedasticity, and Normality) and statistical tests are then performed econ

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Alanya, Willy, and Gabriel Rodríguez. "Stochastic Volatility in the Peruvian Stock Market and Exchange Rate Returns: A Bayesian Approximation." Journal of Emerging Market Finance 17, no. 3 (2018): 354–85. http://dx.doi.org/10.1177/0972652718800560.

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This study is one of the first to utilize the stochastic volatility (SV) model to modelling the Peruvian financial times series. We estimate and compare this model with generalized autoregressive conditional heteroscedasticity (GARCH) models with normal and t-student errors. The analysis in this study corresponds to Peru’s stock market and exchange rate returns. The importance of this methodology is that the adjustment of the data is better than the GARCH models, using the assumptions of normality in both models. In the case of the SV model, three Bayesian algorithms have been employed where w

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Muslihatinningsih, Fivien, Juan Palem Sinaga, and Nanik Istiyani. "Migrasi Migrasi Internasional Penduduk Pulau Jawa Menjadi Pekerja Migran Indonesia di Luar Negeri." Jurnal Ekonomi Pembangunan 9, no. 2 (2020): 106–15. http://dx.doi.org/10.23960/jep.v9i2.100.

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International migration by Indonesian Migrant Workers (PMI) not only has a positive impact on improving the economic conditions of PMI families but also contributes to developing the country's economy through PMI remittances. This study aims to determine the effect of Unemployment, minimum wages, poverty, and human development index on international migration of Indonesian Migrant Workers (PMI) on the island of Java. This study uses secondary data in the form of panel data, with time-series data (2010 - 2019) and cross-section data (6 provinces on Java island). The data analysis method uses a

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Billah Dar, Arif, Aasif Shah, Niyati Bhanja, and Amaresh Samantaraya. "The relationship between stock prices and exchange rates in Asian markets." South Asian Journal of Global Business Research 3, no. 2 (2014): 209–24. http://dx.doi.org/10.1108/sajgbr-07-2013-0061.

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Purpose – The purpose of this paper is to estimate the relationship between stock prices and exchange rates of eight Asian countries. The analysis is based on methodologies that possess the ability to provide a complete representation of data series from both time and frequency perspectives simultaneously. In addition, instead of limiting the analysis to focus on the conditional mean of the response variable y in the regression equation, the authors investigate the extremes of distribution to reveal a range of hidden relationships between these variables. Design/methodology/approach – Given th

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Wu, Edward Ming-Yang, and Shu-Lung Kuo. "VARMA-EGARCH Model for Air-Quality Analyses and Application in Southern Taiwan." Atmosphere 11, no. 10 (2020): 1096. http://dx.doi.org/10.3390/atmos11101096.

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This study adopted the Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) model to analyze seven air pollutants (or the seven variables in this study) from ten air quality monitoring stations in the Kaohsiung–Pingtung Air Pollutant Control Area located in southern Taiwan. Before the verification analysis of the EGARCH model is conducted, the air quality data collected at the ten air quality monitoring stations in the Kaohsiung–Pingtung area are classified into three major factors using the factor analyses in multiple statistical analyses. The factors with the most s

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Diao, Xundi, Hongyang Qiu, and Bin Tong. "Does a unique “T+1 trading rule” in China incur return difference between daytime and overnight periods?" China Finance Review International 8, no. 1 (2018): 2–20. http://dx.doi.org/10.1108/cfri-12-2016-0130.

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Purpose The purpose of this paper is to examine the difference between the daytime (open-to-close) and overnight (close-to-open) returns of CSI 300 index and its derivative futures. Design/methodology/approach The paper explores the difference between the daytime and overnight time returns by using nonparametric techniques. Moreover, investigation on some factors such as short selling, trading rules, risks are made to seek the sources of the day and night effects based on a large number of empirical analysis. In the end, further analyses on daytime and overnight returns are given by the use of

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Kurniawan, Arif, and Yulhendri Yulhendri. "Pengaruh Jumlah Anggota, Modal Sendiri dan Modal Pinjaman Terhadap Sisa Hasil Usah (SHU) Koperasi Unit Desa (KUD) Dikabupaten/Kota Provinsi Sumatera Barat." Jurnal Ecogen 3, no. 2 (2020): 299. http://dx.doi.org/10.24036/jmpe.v3i2.8956.

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This study aims to find out 1) analyse the effect of the number of members on the remainder of the results of the business unit (SHU) village unit cooperatives (KUD), 2) To analyse the effect of their own capital on the residual results of the business unit (SHU) village unit cooperatives (KUD), 3) To analyse the effect of loan capital on the results of the remaining business units (SHU) of village unit cooperatives (KUD) of West Sumatra Province. The data used in this study are secondary data obtained directly from the statistical centre of West Sumatra Province. This study uses a time series

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Chiew, Eng Woo, and Siok Kun Sek. "Examining the Effects of Domestic versus Global Prices Uncertainty on Sectoral Price Inflation in Malaysia." MATEMATIKA 35, no. 4 (2019): 99–122. http://dx.doi.org/10.11113/matematika.v35.n4.1266.

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Price stability is one of the main policy objectives that is targeted by policymakers in many countries. Price uncertainty occurs due to the changes in market structure and consumer preference and expectation, which may affect price stability. In this study, the researchers aimed to examine the effects of price uncertainty of consumer price disaggregation in Malaysian sectors. To be specific, the researchers were seeking to discover on how domestic and global commodity prices can affect sectoral Consumer Price Index (CPI) on price inflation in Malaysia and most importantly, whether the effect

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Darajati, Tuntun Sriwahyuni, and Deny Dwi Hartomo. "STRUKTUR MODAL SEKTOR PERBANKAN PADA SAAT KRISIS KEUANGAN." Jurnal Bisnis dan Manajemen 15, no. 1 (2017): 17. http://dx.doi.org/10.20961/jbm.v15i1.4110.

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<p><em>Capital structure is a balance between the use of the capital itself and the debt. It means how much equity and debt to be used, so that it can produce an optimal capital structure. This study aims to determine the effect of internal and external factors on the capital structure of the banking sector during the financial crisis of 2008-2009. Independent variables used are profitability, growth, asset structure, risk, size, liquidity and IHSG. Beside that, IHSG also has the function as a moderating variable.</em></p><p><em>The method that is used for s

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Massa, Ricardo, and Gustavo Fondevila. "Police crackdowns in Mexico City." Policing: An International Journal 42, no. 5 (2019): 798–813. http://dx.doi.org/10.1108/pijpsm-11-2018-0165.

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Purpose The purpose of this paper is to analyze the design and implementation of the police crackdown strategy employed in Mexico City and to discuss its limitations toward a medium-to-long-term reduction of crime rates for six types of robberies. Design/methodology/approach The present work employs generalized autoregressive conditional heteroscedasticity (GARCH) models to estimate the effect of police operations on the volatility of the rates of six types of robberies in Mexico City, as well as their persistence over time. Findings Results suggest that the concentration of policing in certai

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Stavytskyy, Andriy, and Daria Martynovych. "THE ECONOMETRIC MODELING OF UKRAINIAN MACROECONOMIC TENDENCIES." Ekonomika 91, no. 1 (2012): 79–92. http://dx.doi.org/10.15388/ekon.2012.0.906.

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Econometric models are widely used in economic policies of many states. They help to build a great variety of econometric systems for every country and take into account the specifics of each economy.In this article, the structural macroeconomic models that describe the main aspects of the economic policy were applied. The interdependence between the level of inflation, the value of investment, savings, consumption, export and import transactions, taxes on the foreign trade were defined based on the analysis of the key macroeconomic parameters of Ukraine. After investigating all economic indic

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Oberst, Sebastian, Johanna Baetz, Graeme Campbell, et al. "Vibro-acoustic and nonlinear analysis of cadavric femoral bone impaction in cavity preparations." MATEC Web of Conferences 148 (2018): 14007. http://dx.doi.org/10.1051/matecconf/201814814007.

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Owing to an ageing population, the impact of unhealthy lifestyle, or simply congenital or gender specific issues (dysplasia), degenerative bone and joint disease (osteoarthritis) at the hip pose an increasing problem in many countries. Osteoarthritis is painful and causes mobility restrictions; amelioration is often only achieved by replacing the complete hip joint in a total hip arthroplasty (THA). Despite significant orthopaedic progress related to THA, the success of the surgical process relies heavily on the judgement, experience, skills and techniques used of the surgeon. One common way o

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Fatihudin, Didin, Sjamsul Hidajat, and Ma�ruf Sya�ban. "Implementation of investment and working capital financing allocated by banks towards the added GDP, labors, and welfare in four regencies in Madura." Journal of Economics, Business & Accountancy Ventura 18, no. 1 (2015): 29. http://dx.doi.org/10.14414/jebav.v18i1.379.

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This study investigates the implementation of investment financing absorption and private bank sectors working capital to increase GDP, employment, and welfare of the four counties in Madura island (Bangkalan, Sampang, Pamekasan, Sumenep). This is the development of a previous study. This explanatory study is based on the model devel-opment concept or theory with Path Analysis through the data normality, multicolli-nearity, and heteroscedasticity test as well as causality. The data were taken from Bank Indonesia, Investment Coordinating Board, and the Central Bureau of Statistics. This is a ti

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