Results 61 to 70 of about 2,339 (211)

Improving Volatility Risk Forecasting Accuracy in Industry Sector

International Journal of Mathematics and Mathematical Sciences, Volume 2017, Issue 1, 2017., 2017
Recently, the volatility of financial markets has contributed a necessary part to risk management. Volatility risk is characterized as the standard deviation of the constantly compound return per day. This paper presents forecasting of volatility for the Jordanian industry sector after the crisis in 2009.
S. Al Wadi, Niansheng Tang
wiley   +1 more source

Volatility and Return Transmission among Cement Industry Stock Prices: an Application of Multivariate FIGARCH Modeling in High Frequency Financial time Series [PDF]

فصلنامه پژوهش‌های اقتصادی ایران, 2011
Long memory in asset returns and volatilities is a new research area, both in theoretical and empirical modeling of high frequent financial time series. The most popular techniques of time series modeling with long memory is the ARFIMA-FIGARCH, but this ...
Gholamreza Keshavarz Haddad, Seyed Babak Ebrahimi, Akbar Jafar Abadi   +2 more
doaj  

A note on asymptotic inference for FIGARCH($p, d, q$) models [PDF]

Statistics and Its Interface, 2011
Parameters estimation for a FIGARCH(p, d, q )m odel is studied in this paper. By constructing a compact parameter space Θ satisfying the non-negativity constraints for the FI- GARCH model, it is shown that the results of Robinson and Zaffaroni (2006) can be applied to establish the strong con- sistency and asymptotic normality of the quasi-maximum ...
Ngai Hang Chan, Chi Tim Ng
openaire   +1 more source

Structural breaks and GARCH models of exchange rate volatility: Re‐examination and extension

Journal of Applied Econometrics, Volume 39, Issue 7, Page 1403-1407, November/December 2024.
Summary We examine the empirical significance of structural changes concerning generalized autoregressive conditional heteroskedasticity (GARCH) models of exchange rate volatility using out‐of‐sample tests by replicating and carrying out robustness checks on the volatility forecasting study by Rapach and Strauss (Journal of Applied Econometrics, 2008 ...
Akram Shavkatovich Hasanov, Robert Brooks, Sirojiddin Abrorov, Aktam Usmanovich Burkhanov   +3 more
wiley   +1 more source

THE IMPACT OF THE FINANCIAL CRISIS ON LONG MEMORY: EVIDENCE FROM EUROPEAN BANKING INDICES [PDF]

Annals of the University of Oradea: Economic Science, 2014
We have analyzed the impact of the financial crisis on the existence of the long term dependency for European banking indices. By estimating Hurst Exponent, ARFIMA and FIGARCH models we found that major financial crisis such as, Mexican, Asian and ...
Pece Andreea Maria, Mihut Ioana Sorina, Oros Olivera Ecaterina,   +3 more
doaj  

Modeling long-term volatility memory dynamics in the Colombo Stock Exchange [PDF]

IIM Ranchi Journal of Management Studies
PurposeThis study examines the long-term volatility memory dynamics of the Colombo Stock Exchange by comparing the behaviors of the All Share Price Index (ASPI) and the S&P SL20 Index under recent economic scenarios.Design/methodology/approachThe paper ...
Mohamed Ismail Mohamed Riyath
doaj   +1 more source

Investigation of Fractal Market Hypothesis in Emerging Markets: Evidence from the MINT Stock Markets

Organizations and Markets in Emerging Economies, 2022
This study aims to investigate the market efficiency of emerging stock markets, namely the Mexico, Indonesia, Nigeria, and Turkey (MINT) stock markets based on the Fractal Market Hypothesis.
Yunus Karaömer
doaj   +1 more source

Quantitative Comparisons on the Intrinsic Features of Foreign Exchange Rates Between the 1920s and the 2010s: Case of the USD-GBP Exchange Rate

East Asian Economic Review, 2016
This paper quantitatively compares the intrinsic features of the daily USD-GBP exchange rates in two different periods, the 1920s and the 2010s, under the same freely floating exchange rate system.
Young Wook Han
doaj   +1 more source

Forecasting daily conditional volatility and h-step-ahead short and long Value-at-Risk accuracy: Evidence from financial data

Journal of Finance and Data Science, 2016
In this article we evaluate the daily conditional volatility and h-step-ahead Value at Risk (VaR) forecasting power of three long memory GARCH-type models (FIGARCH, HYGARCH & FIAPARCH).
Samir Mabrouk
doaj   +1 more source

Developing Exp-FIGARCH Hybrid Models for Time Series Modelling

Dutse Journal of Pure and Applied Sciences
In this paper, we introduced a new hybrid model namely Exponential Autoregressive-Fractional Integrated Generalized Autoregressive  Conditional Heteroscedasticity (ExpAR-FIGARCH) model and study financial data. The Daily Nigeria All Share Stock Index that exhibit  nonlinear, volatility and long memory effect were analyzed in the study.
Jibrin, Sanusi Alhaji, Osi, Abdulhameed Ado, Shehu, Shukurana   +2 more
openaire   +2 more sources