Modelling The Volatility of Frankfurt Stock Exchange (DAX) Returns Using hybrid Models

Recently, the interest of researchers in the use of hybrid models in the process of analyzing model time series with fluctuations and forecasting fluctuations in financial time series has increased significantly. Hybrid ARMA-GARCH models were created for medium- and long-term forecasts of time series of financial market index prices: ARMA models are used to analyze their linear component, which is a combination of autoregressive models and moving average models, and GARCH models are used to analyze the nonlinear component. which are generalized autoregressive models that depend on the nonconstancy of variance models. Hybrid ARMA-GARCH models eliminate the weaknesses and gaps that exist in each group of models (ARMA and GARCH) separately, which increases their forecasting accuracy and reliability, so they have already been successfully applied to model and forecast daily stock returns for three standard indices in the USA. The purpose of this article is to investigate which of the hybrid ARMA-GARCH models is optimal for forecasting the return of the DAX index, which is the most important stock index of the German securities market. It is the German equivalent of the American Dow Jones Index, has been calculated since 1988 by Deutsche Börse AG and reflects the total return on capital of the largest stock companies listed on the Frankfurt Stock Exchange (currently 40; by 2021 – 30): calculated as a weighted average of capitalization of the value of Free Float share prices on the Xetra electronic exchange, and also takes into account dividends on shares, assuming that the dividend is reinvested in the share on which it was accrued. The database of this study consisted of the daily closing prices of the DAX index presented on the official website of the Frankfurt Stock Exchange during the period from 01.01.2018 to 09.30.2023 (altogether about 1,500 observations), the stability of the time series was assessed using Expanded Dickey Fuller Liquidity (ADF). The article proposes 7 hybrid models, from which the one that is best suited for modeling the volatility of the DAX index is selected. It is an ARMA (2,3)-EGARCH (1,1) model because it captures volatility and leverage effects on DAX returns and its expected returns more than other models. The selection of the best alternative from the developed array of hybrid models was carried out according to the following criteria: AIC (Akaike Information Criterion), BIC (Bayesian Information Criterion), H-QIC (Hannan-Quinn Information Criterion)

Analyse numérique et expérimentale du comportement des éléments de structures en bois renforcés par des tissus composites(CFRP)

Le renforcement des structures en bâtiment, par des matériaux composites à base de fibre de carbone CFRP, est une technique connue de réhabilitation. Dans le cadre de cette étude nous analyserons des structures bois, et plus précisément le confinement des poteaux par un polymère renforcé de fibres de carbone. La présentation d’une approche numérique de modélisation du comportement des cylindres en bois enveloppés et confinés par un tissu CFRP représente l’objectif principal de ce travail. Une méthodologie numérique de prédiction du comportement mécanique de ce composite est mise en place, En particulier, on s’intéresse à l’étude du comportement plastique anisotrope du matériau bois avec effet du renforcement. Les aspects théoriques et numériques du modèle proposé sont détaillés. L’intégration numérique des équations constitutives du modèle utilisant un schéma implicite itératif basé sur la technique des corrections radiale est discutée. La résolution du problème d’équilibre global est assurée par un schéma Dynamique Explicite. L’application est ensuite faite à la simulation des éprouvettes circulaires en bois renforcées par CFRP. Des comparaisons avec les résultats expérimentaux sont réalisées et discutées

Modélisation du comportement non-linéaire des poteaux en bois renforcés par la fibre de carbone

L’objectif principal de cet article est la mise au point d’une méthodologie numérique de prévision du comportement local d’un procédé de renforcement des poteaux en bois par la fibre de carbone. En particulier, on s’intéresse à l’étude du comportement élasto-plastique du matériau bois avec effet du renforcement. Une modélisation basée sur la thermodynamique des processus irréversibles avec variables d’état est utilisée pour traduire le couplage entre le comportement plastique à écrouissage isotrope et l’effet du renforcement. Les aspects théoriques et numériques de cette formulation sont décrits en détail. La résolution du problème d’équilibre global est assurée par un schéma Dynamique Explicite. La validation de la procédure de calcul implémentée dans ABAQUS/Explicit est faite sur la simulation d’un essai de compression des éprouvettes circulaires en bois renforcées par la fibre de carbone. Les résultats des simulations sont confrontés à ceux de l’expérience

Fast IR-Actuated Shape-Memory Polymers Using in Situ Silver Nanoparticle-Grafted Cellulose Nanocrystals

In recent years, shape-memory polymers (SMPs) have gained a key position in the realm of actuating applications from daily life products to biomedical and aeronautic devices. Most of these SMPs rely mainly on shape changes upon direct heat exposure or after stimulus conversion (e.g. magnetic field and light) to heat, but this concept remains significantly limited when both remote control and fine actuation are demanded. In the present study, we propose to design plasmonic silver nanoparticles (AgNPs) grafted onto cellulose nanocrystals (CNCs) as an efficient plasmonic system for fast and remote actuation. Such CNC-g-AgNPs "nanorod-like" structures thereby allowed for a long-distance and strong coupling plasmonic effect between the AgNPs along the CNC axis, thus ensuring a fast photothermal shape-recovery effect upon IR light illumination. To demonstrate the fast and remote actuation promoted by these structures, we incorporated them at low loading (1 wt %) into poly(ϵ-caprolactone) (PCL)-based networks with shape-memory properties. These polymer matrix networks were practically designed from biocompatible PCL oligomers end-functionalized with maleimide and furan moieties in the melt on the basis of thermoreversible Diels-Alder reactions. The as-produced materials could find application in the realm of soft robotics for remote object transportation or as smart biomaterials such as self-tightening knots with antibacterial properties related to the presence of the AgNPs.SCOPUS: ar.jinfo:eu-repo/semantics/publishe

A multilayer coating with optimized properties for corrosion protection of Al

International audienceA barrier multilayer coating comprising of a plasma polymer film, a grafted layer and a mechanically reinforced acrylic layer is reported in this work

Preparation of Cellulose Nanocrystal-Reinforced Poly(lactic acid) Nanocomposites through Noncovalent Modification with PLLA-Based Surfactants

Cellulose nanocrystal (CNC)-reinforced poly­(lactic acid) (PLA) nanocomposites were prepared by twin-screw extrusion followed by injection-molding using a masterbatch approach. Noncovalent modification of CNCs was performed with two different poly­(l-lactide) (PLLA)-based surfactants to improve the filler/matrix compatibility. They both have a PLLA block that is expected to improve the compatibility with the PLA matrix and differ by the polar head. It consists of either a poly­(ethylene glycol) (PEG) block (PEG-<i>b</i>-PLLA) or an imidazolium group (Im-PLLA), that is able to interact with the surface of the CNCs. The morphological, structural, thermal, rheological, and mechanical properties of the nanocomposites were investigated. The different modes of interaction of the polar head of the surfactant lead to different properties. However, the global decrease in the molecular weight of PLA, induced by the short PLLA blocks from the surfactants and the possible degradation during melt processing, results in a plasticization effect and impacts the crystallization of the matrix

Supramolecular Approach for Efficient Processing of Polylactide/Starch Nanocomposites

All-biobased and biodegradable nanocomposites consisting of poly­(l-lactide) (PLLA) and starch nanoplatelets (SNPs) were prepared via a new strategy involving supramolecular chemistry, i.e., stereocomplexation and hydrogen-bonding interactions. For this purpose, a poly­(d-lactide)-<i>b</i>-poly­(glycidyl methacrylate) block copolymer (PDLA-<i>b</i>-PGMA) was first synthesized via the combination of ring-opening polymerization and atom-transfer radical polymerization. NMR spectroscopy and size-exclusion chromatography analysis confirmed a complete control over the copolymer synthesis. The SNPs were then mixed up with the copolymer for producing a PDLA-<i>b</i>-PGMA/SNPs masterbatch. The masterbatch was processed by solvent casting for which a particular attention was given to the solvent selection to preserve SNPs morphology as evidenced by transmission electron microscopy. Near-infrared spectroscopy was used to highlight the copolymer–SNPs supramolecular interactions mostly via hydrogen bonding. The prepared masterbatch was melt-blended with virgin PLLA and then thin films of PLLA/PDLA-<i>b</i>-PGMA/SNPs nanocomposites (ca. 600 μm) were melt-processed by compression molding. The resulting nanocomposite films were deeply characterized by thermogravimetric analysis and differential scanning calorimetry. Our findings suggest that supramolecular interactions based on stereocomplexation between the PLLA matrix and the PDLA block of the copolymer had a synergetic effect allowing the preservation of SNPs nanoplatelets and their morphology during melt processing. Quartz crystal microbalance and dynamic mechanical thermal analysis suggested a promising potential of the stereocomplex supramolecular approach in tuning PLLA/SNPs water vapor uptake and mechanical properties together with avoiding PLLA/SNPs degradation during melt processing

Free Radical Generation and Concentration in a Plasma Polymer: The Effect of Aromaticity

Plasma polymer films (PPF) have increasing applications in many fields due to the unique combination of properties of this class of materials. Among notable features arising from the specifics of plasma polymerization synthesis, a high surface reactivity can be advantageously used when exploited carefully. It is related to the presence of free radicals generated during the deposition process through manifold molecular bond scissions in the energetic plasma environment. In ambient atmosphere, these radicals undergo autoxidation reactions resulting in undesired polymer aging. However, when the reactivity of surface radicals is preserved and they are put in direct contact with a chemical group of interest, a specific surface functionalization or grafting of polymeric chains can be achieved. Therefore, the control of the surface free radical density of a plasma polymer is crucially important for a successful grafting. The present investigation focuses on the influence of the hydrocarbon precursor type, aromatic vs aliphatic, on the generation and concentration of free radicals on the surface of the PPF. Benzene and cyclohexane were chosen as model precursors. First, in situ FTIR analysis of the plasma phase supplemented by density functional theory calculations allowed the main fragmentation routes of precursor molecules in the discharge to be identified as a function of energy input. Using nitric oxide (NO) chemical labeling in combination with X-ray photoelectron spectroscopy analysis, a quantitative evaluation of concentration of surface free radicals as a function of input power has been assessed for both precursors. Different evolutions of the surface free radical density for the benzene- and cyclohexane-based PPF, namely, a continuous increase versus stabilization to a plateau, are attributed to different plasma polymerization mechanisms and resulting structures as illustrated by PPF characterization findings. The control of surface free radical density can be achieved through the stabilization of radicals due to the proximity of incorporated aromatic rings. Aging tests highlighted the inevitable random oxidation of plasma polymers upon exposure to air and the necessity of free radical preservation for a controlled surface functionalization