Related papers: A new implementation of Network GARCH Model

We propose a general class of INteger-valued Generalized AutoRegressive Conditionally Heteroscedastic (INGARCH) processes by allowing time-varying mean and dispersion parameters, which we call time-varying dispersion INGARCH (tv-DINGARCH)…

We propose a parsimonious quantile regression framework to learn the dynamic tail behaviors of financial asset returns. Our model captures well both the time-varying characteristic and the asymmetrical heavy-tail property of financial time…

Volatility is a natural risk measure in finance as it quantifies the variation of stock prices. A frequently considered problem in mathematical finance is to forecast different estimates of volatility. What makes it promising to use deep…

We study the long-term memory in diverse stock market indices and foreign exchange rates using the Detrended Fluctuation Analysis(DFA). For all daily and high-frequency market data studied, no significant long-term memory property is…

In this paper we study time-consistent risk measures for returns that are given by a GARCH(1,1) model. We present a construction of risk measures based on their static counterparts that overcomes the lack of time-consistency. We then study…

Volatility forecasting plays an important role in the financial econometrics. Previous works in this regime are mainly based on applying various GARCH-type models. However, it is hard for people to choose a specific GARCH model which works…

Graph models provide efficient tools to capture the underlying structure of data defined over networks. Many real-world network topologies are subject to change over time. Learning to model the dynamic interactions between entities in such…

Graph Neural Networks (GNNs) and Graph Transformers (GTs) are now a fundamental paradigm for graph learning, combining the representation-learning capabilities of deep models with the sample efficiency induced by their inductive biases.…

Granger Causality (GC) offers an elegant statistical framework to study the association between multivariate time series data. Vector autoregressive models (VAR) are simple and easy to fit, but have limited application because of their…

Temporal Graph Neural Networks (TGNNs) are a family of graph neural networks designed to model and learn dynamic information from temporal graphs. Given their substantial empirical success, there is an escalating interest in TGNNs within…

This study was conducted to find an appropriate statistical model to forecast the volatilities of PSEi using the model Generalized Autoregressive Conditional Heteroskedasticity (GARCH). Using the R software, the log returns of PSEi is…

Stock market volatility forecasting is a task relevant to assessing market risk. We investigate the interaction between news and prices for the one-day-ahead volatility prediction using state-of-the-art deep learning approaches. The…

In this study, we examine the fluctuation in the value of the Great Britain Pound (GBP). We focus particularly on its relationship with the United States Dollar (USD) and the Euro (EUR) currency pairs. Utilizing data from June 15, 2018, to…

We introduce a multivariate stochastic volatility model for asset returns that imposes no restrictions to the structure of the volatility matrix and treats all its elements as functions of latent stochastic processes. When the number of…

We investigate a solution for the problems related to the application of multivariate GARCH models to markets with a large number of stocks by restricting the form of the conditional covariance matrix. The model is a factor model and uses…

Recent studies have shown great promise in applying graph neural networks for multivariate time series forecasting, where the interactions of time series are described as a graph structure and the variables are represented as the graph…

This paper develops the first closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize…

An appropriate calibration and forecasting of volatility and market risk are some of the main challenges faced by companies that have to manage the uncertainty inherent to their investments or funding operations such as banks, pension funds…

The dynamic portfolio construction problem requires dynamic modeling of the joint distribution of multivariate stock returns. To achieve this, we propose a dynamic generative factor model which uses random variable transformation as an…

Graph neural networks (GNN) have recently emerged as a vehicle for applying deep network architectures to graph and relational data. However, given the increasing size of industrial datasets, in many practical situations the message passing…