Results 71 to 80 of about 11,730 (214)

Comparison of Symmetrical; Asymmetrical; and Logarithmic Models Using GARCH; GJR-GARCH; and EGARCH Method in Forecasting Indonesia–USA Currency Volatility

Ekonometria
Aim: The main object of this study was to present a comparison between GARCH models, i.e. the standard GARCH model, asymmetric GJR-GARCH, and logarithmic EGARCH on exchange rate (IDR/USD) volatility.
Juwita Suwondo, Rern-Jay Hung, Eko Yuni Prihantono, Renaldi   +3 more
doaj   +1 more source

Examining the Financial Impact of Biodiversity‐Related Reputational Disasters

Corporate Social Responsibility and Environmental Management, Volume 32, Issue 4, Page 4500-4522, July 2025.
ABSTRACT This research investigates the reaction of financial markets to biodiversity‐related corporate events, utilising an EGARCH model to assess the implications on stock returns and volatility. Results reveal that markets significantly respond to these events, demonstrating heightened sensitivity and volatility that underscore the financial ...
Erdinc Akyildirim, Shaen Corbet
wiley   +1 more source

Volatility forecasting for crude oil futures [PDF]

This paper studies the forecasting properties of linear GARCH models for closing-day futures prices on crude oil, first position, traded in the New York Mercantile Exchange from January 1995 to November 2005.
Marzo, Massimiliano, Zagaglia, Paolo
core   +3 more sources

THE DYNAMICS OF THE DOW JONES SUKUK VOLATILITY: EVIDENCE FROM EGARCH MODEL [PDF]

Business Excellence and Management, 2015
This paper aims to test the effect of asymmetric shocks on the volatility of the Dow Jones Sukuk. To this end, we applied the EGARCH model to give a clear idea of the effect of asymmetric shocks on the volatility of the sukuk.
Nadhem SELMI , Mohamed FAKHFEKH , Marwa BEN SALEM   +2 more
doaj  

Panel estimation of the impact of exchange rate uncertainty on investment in the major industrial countries [PDF]

, 2003
We estimate the impact of exchange rate uncertainty on investment, using panel estimation featuring a decomposition of exchange rate volatility derived from the components GARCH model of Engle and Lee (1999).
Byrne, JP, Davis, EP
core   +2 more sources

Evaluating the Resilience of ESG Investments in European Markets During Turmoil Periods

Corporate Social Responsibility and Environmental Management, Volume 32, Issue 4, Page 5006-5020, July 2025.
ABSTRACT This study investigates the resilience of Environmental, Social, and Governance (ESG) investments during periods of financial instability, comparing them with traditional equity indices of the three largest economies in the European Union by gross domestic product: Germany, France, and Italy.
Barbara Iannone, Pierdomenico Duttilo, Stefano Antonio Gattone   +2 more
wiley   +1 more source

Extended Multivariate EGARCH Model: A Model for Zero‐Return and Negative Spillovers

Journal of Forecasting, Volume 44, Issue 4, Page 1266-1279, July 2025.
ABSTRACT This paper introduces an extended multivariate EGARCH model that overcomes the zero‐return problem and allows for negative news and volatility spillover effects, making it an attractive tool for multivariate volatility modeling. Despite limitations, such as noninvertibility and unclear asymptotic properties of the QML estimator, our Monte ...
Yongdeng Xu
wiley   +1 more source

Dependence Modelling using GARCH, EGARCH, and Copula Models:

Asia Proceedings of Social Sciences, 2018
Copula become a popular tool to measure the dependency between financial data due to its ability to capture the non-normal distributions. Hence, this paper will inspect the impact of input models towards the parameter estimation of marginal and copula models for KLCI and FBMHS returns series by considering the ARMA-GARCH model and the ARMA-EGARCH model.
Nurul Hanis Aminuddin Jafry, Ruzanna Ab Razak, Noriszura Ismail   +2 more
openaire   +2 more sources

Bitcoin ve Ethereum Piyasasında Takvim Anomalilerinin İncelenmesi

Selçuk Üniversitesi Sosyal Bilimler Meslek Yüksekokulu Dergisi
Modern finans teorisinin köşe taşlarından biri olan Etkin Piyasa Hipotezi, piyasada mevcut olan tüm bilginin kullanılması suretiyle piyasanın üzerinde getiri elde edilemeyeceğini öne sürmektedir. Bununla birlikte finansal piyasalarda yapılan çalışmaların
Arzu Özmerdivanlı
doaj   +1 more source

A note on the determinants of non‐fungible tokens returns

International Journal of Finance &Economics, Volume 30, Issue 3, Page 3201-3211, July 2025.
Abstract We aim to identify the determinants of non‐fungible tokens (NFTs) returns. The 10 most popular NFTs based on their price, trading volume, and market capitalisation are examined. Twenty‐three potential drivers of the returns of each NFT are considered.
Theodore Panagiotidis, Georgios Papapanagiotou   +1 more
wiley   +1 more source