The Day-of-the-Week Effect on Stock-Market Volatility and Return: Evidence from Emerging Markets (in English) [PDF]
This study investigates day-of-the-week (DOW) anomalies in the stock markets of twenty emerging economies. The authors use a modified exponential generalized autoregressive conditional heteroskedasticity in-mean (EGARCH-M) modeling strategy that allows ...
Yeliz Yalcin, Eray M. Yycel
core
Scientific AfricanAccurate stock volatility forecasting is critical for informed investment decisions and effective risk management. This study proposes an attention-guided hybrid modeling framework that integrates Generalized Autoregressive Conditional Heteroskedasticity
Wandile Nhlapho +2 more
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Using EGARCH models to predict volatility in unconsolidated financial markets: the case of European carbon allowances. [PDF]
J Environ Stud Sci, 2023 Villar-Rubio E +2 more
europepmc +1 more source
Empirical Analysis of Carbon Price Based on EGARCH
Journal of Physics: Conference Series, 2019 Abstract The carbon trading market has been increasingly heated for more than a decade, and its market participants and market rules are not exactly the same as traditional stock or exchange rate markets. Based on the mature and efficient GARCH series model, this thesis analyzes the rules of the carbon trading market.
openaire +1 more source
A risk measurement study evaluating the impact of COVID-19 on China's financial market using the QR-SGED-EGARCH model. [PDF]
Ann Oper Res, 2023 Song M, Sui Z, Zhao X.
europepmc +1 more source
Parametric inference and forecasting in continuously invertible volatility models
We introduce the notion of continuously invertible volatility models that relies on some Lyapunov condition and some regularity condition. We show that it is almost equivalent to the volatilities forecasting efficiency of the parametric inference approach
Cai, Sixiang, Wintenberger, Olivier
core
LSTM-GARCH Hybrid Model for the Prediction of Volatility in Cryptocurrency Portfolios. [PDF]
Comput Econ, 2023 García-Medina A, Aguayo-Moreno E.
europepmc +1 more source
Forecasting volatility in Asian financial markets: evidence from recursive and rolling window methods. [PDF]
SN Bus Econ, 2022 Sahiner M.
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Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi DergisiÇalışmanın amacı, Borsa İstanbul’da (BIST) işlem gören Katılım 30 ve Katılım 50 endekslerinin volatilite yapılarını açıklayan en uygun modeli belirlemektir.
Turan Öndeş, Muhammet Levet
doaj +1 more source
Symmetric and asymmetric GARCH estimations of the impact of oil price uncertainty on output growth: evidence from the G7. [PDF]
Lett Spat Resour Sci, 2023 Alao RO +5 more
europepmc +1 more source