Boubaker Touijrat

3 Questions 6 Answers 0 Followers

Questions related from Boubaker Touijrat

What is the diffrence between studying Spillover effect between two Indices using for exemple BEKK model or VAR-BEKK model ?

hello, i'm a phd student, i would like to ask for your help in undertanding the diffrence between studying Spillover in the mean and volatility using BEKK ( for exemple ) and VAR-BEKK ? what is...

12 February 2020 4,060 3 View

Hello , i want to try univariate GARCH modeling , but i didn't succeed , can someone propose to me any other univariate GARCH models ?

Hello , i'm a phd student , i work on volatility modeling ,i tried GARCH, EGARCH , IGARCH, TGARCH and CGARCH to model my time series , but after applying ARCH-LM test, i still find the presence of...

18 June 2019 7,178 9 View

Hello ! please can someone help me find S&P GSCI index spot historical data ?

i want to study volatility shocks in this market, but i can't find the data to begin with

06 March 2019 7,280 3 View