Results 91 to 100 of about 4,202 (205)

Does the fear gauge predict downside risk more accurately than econometric models? Evidence from the US stock market

Cogent Economics & Finance, 2016
This paper empirically compares the usefulness of information included in the volatility index (VIX) against several generalized autoregressive conditional heteroskedasticity (GARCH) models for predicting downside risk in the US stock market.
Chikashi Tsuji
doaj   +1 more source

Modeling and Forecasting Volatility of the Malaysian and the Singaporean stock indices using Asymmetric GARCH models and Non-normal Densities [PDF]

This paper examines and estimate the three GARCH(1,1) models (GARCH, EGARCH and GJR-GARCH) using the daily price data. Two Asian stock indices KLCI and STI are studied using daily data over a 14-years period.
Abu Hassan, Ahmed Shamiri
core  

Dynamic asymmetric financial connectedness under tail dependence and rendered time variance: Selected evidence from emerging MENA stock markets

Borsa Istanbul Review, 2019
We study the volatility connectedness of stock market prices over various time horizons. We adopt a novel combination of copula and the asymmetric GARCH function (EGARCH) to fit this type of joint distribution consisting of the marginal distribution and ...
Huthaifa Alqaralleh, Diyama Awadallah, Noor Al-Ma'aitah   +2 more
doaj   +1 more source

Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model [PDF]

Scandinavian Journal of Statistics, 2013
AbstractI introduce the notion of continuous invertibility on a compact set for volatility models driven by a stochastic recurrence equation. I prove strong consistency of the quasi‐maximum likelihood estimator (QMLE) when the quasi‐likelihood criterion is maximized on a continuously invertible domain.
openaire   +4 more sources

Empirical Results of Modeling EUR/RON Exchange Rate using ARCH, GARCH, EGARCH, TARCH and PARCH models [PDF]

Revista Română de Statistică, 2017
The aim of this study consists in examining the changes in the volatility of daily returns of EUR/RON exchange rate using on the one hand symmetric GARCH models (ARCH and GARCH) and on the other hand the asymmetric GARCH models (EGARCH, TARCH and PARCH),
Andreea – Cristina PETRICĂ, Stelian STANCU   +1 more
doaj  

Alternative Asymmetric Stochastic Volatility Models [PDF]

The stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between the innovations in returns and volatility.
Michael McAleer, Manabu Asai
core   +4 more sources

Multivariate range-based EGARCH models

International Review of Financial Analysis, 2022
Lili Yan, Neil Kellard, Lyudmyla Lambercy   +2 more
openaire   +1 more source

Does Internet access to official data display any regularity: case of the Electronic Data Delivery System of the Central Bank of Turkey

1990s were the years of enormous growth of information exchange. Rapid development, augmented coverage and wide accessibility of Internet have been the key factors of that amazing growth.
Tokel, Omer Emre, Yucel, Eray M.
core  

Forecasting of Onion Price through GARCH and EGARCH Time Series Models in Nasik District of Maharashtra

International Journal of Bio-Resource and Stress Management
The experiment was conducted from March, 2023 to March, 2024 at Dr. RPCAU, Pusa, Bihar, India to study the performance of GARCH and EGARCH models for forecasting onion prices.
Devkar Divya Raju, Mahesh Kumar
doaj   +1 more source

Asymmetric Behavior of Inflation Uncertainty and Friedman-Ball Hypothesis: Evidence from Pakistan

This paper is first attempt to measure and analyze inflation uncertainty in Pakistan and it provides several contributions. Using quarterly data from 1976:01 to 2008:02, at first stage we model inflation uncertainty as time varying process through GARCH ...
Rizvi, Syed Kumail Abbas, Naqvi, Bushra
core