Please use this identifier to cite or link to this item:
https://elib.bsu.by/handle/123456789/52105| Title: | Individual stock volatility modeling with garch–jumps model augmented with news analytics data |
| Authors: | Sidorov, S. P. Date, P. Balash, V. A. Faizliev, A. R. Korobov, E. |
| Keywords: | ЭБ БГУ::ЕСТЕСТВЕННЫЕ И ТОЧНЫЕ НАУКИ::Кибернетика |
| Issue Date: | 2013 |
| Publisher: | Minsk : Publ. center of BSU |
| Citation: | Computer Data Analysis and Modeling: Theoretical and Applied Stochastics : Proc. of the Tenth Intern. Conf., Minsk, Sept. 10–14, 2013. Vol 2. — Minsk, 2013. - P. 181-184 |
| Abstract: | Based on empirical evidences for some of FTSE100 companies, it will be examined two GARCH models with jumps. First we consider the well-known GARCH model with jumps proposed in [5]. Then we introduced the GARCH- Jumps model augmented with news intensity and obtained some empirical results. |
| URI: | http://elib.bsu.by/handle/123456789/52105 |
| Appears in Collections: | 2013. Computer Data Analysis and Modeling. Vol 2 Vol. 2 |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 181-184.pdf | 480,93 kB | Adobe PDF | View/Open |
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