This paper discusses the model construction and the association between the Italy and the Germany＇s stock markets. The period of study data is from January 3, 2000 to June 30, 2008. This paper also utilizes Student＇...This paper discusses the model construction and the association between the Italy and the Germany＇s stock markets. The period of study data is from January 3, 2000 to June 30, 2008. This paper also utilizes Student＇s t distribution to analyze the proposed model. The empirical results show that the two stock markets are mutually affected each other, and the dynamic conditional correlation （DCC） and the bivariate asymmetric-GARCH （1, 2） model is appropriate in evaluating the relation between them. The empirical result also indicates that Italy and Germany＇s stock markets show a positive relationship. The average value of correlation coefficient equals to 0.8424, which implies that the two stock markets return volatility have a synchronized influence on each other. In addition, the empirical result also shows that there is an asymmetrical effect between Italy and the Germany＇s stock markets, and demonstrates that the good news and bad news of the stock returns＇ volatility will produce the different variation risks for Italy and the Germany＇s stock price markets.展开更多
Wind power forecasting is of great significance to the safety, reliability and stability of power grid. In this study, the GARCH type models are employed to explore the asymmetric features of wind power time series an...Wind power forecasting is of great significance to the safety, reliability and stability of power grid. In this study, the GARCH type models are employed to explore the asymmetric features of wind power time series and improved forecasting precision. Benchmark Symmetric Curve (BSC) and Asymmetric Curve Index (ACI) are proposed as new asymmetric volatility analytical tool, and several generalized applications are presented. In the case study, the utility of the GARCH-type models in depicting time-varying volatility of wind power time series is demonstrated with the asymmetry effect, verified by the asymmetric parameter estimation. With benefit of the enhanced News Impact Curve (NIC) analysis, the responses in volatility to the magnitude and the sign of shocks are emphasized. The results are all confirmed to be consistent despite varied model specifications. The case study verifies that the models considering the asymmetric effect of volatility benefit the wind power forecasting performance.展开更多
文摘This paper discusses the model construction and the association between the Italy and the Germany＇s stock markets. The period of study data is from January 3, 2000 to June 30, 2008. This paper also utilizes Student＇s t distribution to analyze the proposed model. The empirical results show that the two stock markets are mutually affected each other, and the dynamic conditional correlation （DCC） and the bivariate asymmetric-GARCH （1, 2） model is appropriate in evaluating the relation between them. The empirical result also indicates that Italy and Germany＇s stock markets show a positive relationship. The average value of correlation coefficient equals to 0.8424, which implies that the two stock markets return volatility have a synchronized influence on each other. In addition, the empirical result also shows that there is an asymmetrical effect between Italy and the Germany＇s stock markets, and demonstrates that the good news and bad news of the stock returns＇ volatility will produce the different variation risks for Italy and the Germany＇s stock price markets.
基金funded by National Natural Science Foundation of China (51577025).
文摘Wind power forecasting is of great significance to the safety, reliability and stability of power grid. In this study, the GARCH type models are employed to explore the asymmetric features of wind power time series and improved forecasting precision. Benchmark Symmetric Curve (BSC) and Asymmetric Curve Index (ACI) are proposed as new asymmetric volatility analytical tool, and several generalized applications are presented. In the case study, the utility of the GARCH-type models in depicting time-varying volatility of wind power time series is demonstrated with the asymmetry effect, verified by the asymmetric parameter estimation. With benefit of the enhanced News Impact Curve (NIC) analysis, the responses in volatility to the magnitude and the sign of shocks are emphasized. The results are all confirmed to be consistent despite varied model specifications. The case study verifies that the models considering the asymmetric effect of volatility benefit the wind power forecasting performance.
