Block Trading Based Volatility Forecasting: An Application of VACD-FIGARCH Model [PDF]
The Journal of Asian Finance, Economics and Business, 2020 The purpose of this study is to construct the ACD model for the block trading volume duration. The ACD model based on the block trading volume duration is referred to as Volume ACD (VACD) in this study. By integrating with GARCH-type models, the VACD based GARCH type models, which include VACD-GARCH, VACD-IGARCH and VACD-FIGARCH models, are set up ...
Teng-Tsai TU, Chih-Wei LIAO
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Financial Uncertainty from a Dual Shock at Global Level–Insights from Kuwait
International Journal of Financial Studies, 2022 Global stock markets experienced a dual shock in 2020 due to the impact of the global health crisis, parallel to a simultaneous shock derived from the Saudi Arabia and Russia oil price war. The dual shock fueled oil market volatility with lasting effects
Talal A. N. M. S. Alotaibi +1 more
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Testing for long memory in volatility in the Indian Forex market [PDF]
Ekonomski Anali, 2014 This article attempts to verify the presence of long memory in volatility in the Indian foreign exchange market using daily bilateral returns of the Indian Rupee against the US dollar from 17/02/1994 to 08/11/2013.
Kumar Anoop S.
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Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis [PDF]
SSRN Electronic Journal, 2014 Previous version available as DIW Berlin Discussion Paper No.
Caporale, GM, Skare, M
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Stock-return volatility persistence over short and long range horizons: Some empirical evidences
Jurnal Perspektif Pembiayaan dan Pembangunan Daerah, 2020 In this paper, we account for memory failure or otherwise in the daily evolution of stock return and volatility within the purview of short and long ranges based on the arrival of fundamental news.
Kolawole Subair, Ajibola Arewa
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Evaluation of the Value-at-Risk Estimation Methods with applying a Penalty for Risk Overestimation [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2020 In this paper, Value at Risk for Gold prices Is estimated by the Extreme Value theory and parametric method with Normal and t-student distribution for disturbance term in the mean equation together with a range of the conditional variances estimation ...
Ghlamreza Keshavarz-Haddad +1 more
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Comparing the accuracy of the model Meta heuristic and Econometric in forecasting of financial time series with long-term memory (Case Study, Stock Index of Cement Industry in Iran) [PDF]
تحقیقات مالی, 2011 Data with high frequency have a particular type of none stationary that is called fractional none stationary. This property causes the emergence of long-term memory in financial time series with high frequency. The existence of long-term memory in cement
Farnaz Barzinpour +3 more
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Modeling and Forecasting the Volatility of Eastern European Emerging Markets
East Asian Economic Review, 2009 This study has attempted to seek a volatility forecasting model that can reflect sufficiently the long memory characteristic in the volatility of four Eastern European emerging stock markets, naThis study has attempted to seek a volatility forecasting ...
Sang Hoon Kang , Seong-Min Yoon
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Gestão & Produção, 2012 Neste trabalho foram avaliados os ajustes de cinco modelos para previsão da variância, utilizando-se uma série de preços de soja, uma commodity negociada na bolsa de mercadorias de Chicago (CBOT), com dados de alta frequência. Os modelos utilizados foram
Mario Domingues Simões +3 more
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Negative Return-Volume Relationship in Asian Stock Markets: Figarch-Copula Approach
Eurasian Journal of Economics and Finance, 2014 We explore the potential dependence among different Asian stock markets, using several different statistical models. Extreme return-volume dependence in Hong Kong Seng Index, Bombay Stock Exchange, Indonesia Composite Index and Bursa Malaysia has been examined by using FIGARCH-Copula and GARCH-Copula approach.
M. Naeem, J. Hao, LISEO, Brunero
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