Results 61 to 70 of about 11,730 (214)
Do political events affect stock return volatility on Indonesian Stock Exchange
Journal of Economics, Business & Accountancy Ventura, 2019 This study has the purpose to examine the effect of political events on the volatility of stocks traded on the Indonesia Stock Exchange (IDX). Furthermore, this study also sees whether such political events also influence the shares that have direct ...
Vina Nurlita, Prima Naomi
doaj +1 more source
Improving Forecasts of the EGARCH Model Using Artificial Neural Network and Fuzzy Inference System
Journal of Mathematics, 2020 This paper proposes an innovative semiparametric nonlinear fuzzy-EGARCH-ANN model to solve the problem of accurate modeling for forecasting stock market volatility.
Geleta T. Mohammed +2 more
doaj +1 more source
Complex Network Built From Stock Price Returns and Volumes to Predict Market Volatility and Volume
Complexity, Volume 2026, Issue 1, 2026.This study investigates if network features from stock return and trading volume correlations can improve one‐month‐ahead forecasts of Vietnam’s VNIndex volatility and volume (2018–2024). We construct dynamic financial networks using Threshold, Top‐k, and minimum spanning tree (MST) filtering methods, calculating metrics like density, centrality, and ...
N-K-K. Nguyen +3 more
wiley +1 more source
International Journal of Energy Research, Volume 2026, Issue 1, 2026.As the leading energy source, oil price volatility has crucial effects in energy markets, and geopolitical risks (GPRs) and economic policy uncertainties contribute to its volatility. Further, chaos, long‐range dependence, fractionality, and complexity significantly reduce modeling and forecast performances.
Özgür Ömer Ersin +2 more
wiley +1 more source
Journal of Applied Mathematics, Volume 2026, Issue 1, 2026.This paper proposes a wavelet‐based framework to improve parameter estimation and forecasting performance in combined ARIMA–GARCH models for nonlinear and non‐normal time series with time‐varying variance. Although standard ARIMA–GARCH models are widely used to describe conditional mean and volatility dynamics, they may fail to capture localized and ...
Najlaa Saad Ibrahim Alsharabi +3 more
wiley +1 more source
Asymmetric stable stochastic volatility models: estimation, filtering, and forecasting
Journal of Time Series Analysis, Volume 46, Issue 6, Page 1098-1124, November 2025.This article considers a stochastic volatility model featuring an asymmetric stable error distribution and a novel way of accounting for the leverage effect. We adopt simulation‐based methods to address key challenges in parameter estimation, the filtering of time‐varying volatility, and volatility forecasting.
Francisco Blasques +2 more
wiley +1 more source
Hedging Foreign Exchange Risks with Gold: EGARCH Approach [PDF]
African Journal of Applied Statistics, 2014 This work presents an investigation on whether investments in Gold can serve as a hedge against the depreciation in currencies. The long term relationship between Gold price and the Japanese Yen per US Dollar, British Pound per US Dollar and South African Rand per US Dollar exchange rate was investigated using monthly data on Gold price and the three ...
GIDEON, Frednard, NUUGULU, Samuel
openaire +2 more sources
VARMA-EGARCH Model for Air-Quality Analyses and Application in Southern Taiwan
Atmosphere, 2020 This study adopted the Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) model to analyze seven air pollutants (or the seven variables in this study) from ten air quality monitoring stations in the Kaohsiung–Pingtung Air ...
Edward Ming-Yang Wu, Shu-Lung Kuo
doaj +1 more source
Estimation and Inference for Higher‐Order Stochastic Volatility Models With Leverage
Journal of Time Series Analysis, Volume 46, Issue 6, Page 1064-1084, November 2025.ABSTRACT Statistical inference—estimation and testing—for stochastic volatility models is challenging and computationally expensive. This problem is compounded when leverage effects are allowed. We propose efficient, simple estimators for higher‐order stochastic volatility models with leverage [SVL(p)$$ (p) $$], based on a small number of moment ...
Md. Nazmul Ahsan +2 more
wiley +1 more source
Environmetrics, Volume 36, Issue 7, October 2025.ABSTRACT Climate change is increasingly recognized as a driver of health‐related outcomes, yet its impact on pharmaceutical demand remains largely understudied. As environmental conditions evolve and extreme weather events intensify, anticipating their influence on medical needs is essential for designing resilient healthcare systems.
Viviana Schisa, Matteo Farnè
wiley +1 more source