Asymmetric Conditional Volatility Models: Empirical Estimation and Comparison of Forecasting Accuracy [PDF]
This paper compares several statistical models for daily stock return volatility in terms of sample fit and out-of-sample forecast ability. The focus is on U.S. and Romanian daily stock return data corresponding to the 2002-2010 time interval.
Miron, Dumitru, Tudor, Cristiana
core
Asymmetric GARCH and the financial crisis: a preliminary study [PDF]
The paper deals with estimation of both general GARCH as well as asymmetric EGARCH and TGARCH models, used to model the leverage effect of good news and bad news on market volatility.
Baumöhl, Eduard, Výrost, Tomáš
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The Volatility of Thai Rice Price [PDF]
This study was conducted to explore the varying volatility of world rice price for the period 1961 to 2008 using monthly data. The paper provides estimates of two GARCH models, namely, GARCH and EGARCH which were used to capture the stochastic variation ...
Baharom, A.H. +3 more
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Cross-market volatility spillovers between China and the United States: A DCC-EGARCH-t-Copula framework with out-of-sample forecasting. [PDF]
PLoS OneZeng J, Wu J.
europepmc +1 more source
Exploiting deterministic features in apparently stochastic data. [PDF]
Sci Rep, 2022 Stoop R +3 more
europepmc +1 more source
Bootstrapping Fuzzy-GARCH Regressions on the Day of the Week Effect in Stock Returns: Applications in MATLAB [PDF]
This paper examines the well know day of the week effect on stock returns. Various approaches have been developed and applied in order to examine calendar effects in stock returns and to formulate appropriate financial and risk portfolios.
Giovanis, Eleftherios
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EGARCHモデルについてThis paper considers the EGARCH(exponential GARCH)model, which is one of the conditional heteroscedastic models. The EGARCH model allows for asymmetric effects between positive and negative asset returns. First, with the daily return data of TOPIX used, the paper estimates parameters of EGARCH models and comparing them with other GARCH models by AIC ...
openaire
Modeling Saudi stock index returns and volatility: a dual approach using GARCH and neural networks. [PDF]
Front Artif IntellAl-Besher S, Al-Najjar D.
europepmc +1 more source
Impact of COVID-19 on Stock Indices Volatility: Long-Memory Persistence, Structural Breaks, or Both? [PDF]
Ann Data Sci, 2022 de Oliveira AMB, Mandal A, Power GJ.
europepmc +1 more source