Results 41 to 50 of about 13,792,513 (203)

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

INTERNATIONAL TOURISTS’ EXPENDITURES IN THAILAND: A MODELLING OF THE ARFIMA-FIGARCH APPROACH [PDF]

Annals of the University of Petrosani: Economics, 2010
Forecasting is an essential analytical tool for tourism policy andplanning. This paper focuses on forecasting methods based on ARFIMA(p,d,q)-FIGARCH(p,d,q). Secondary data was used to produce forecasts of international tourists’expenditures in Thailand for the period 2009-2010.
Kanchana Chokethaworn, Aree Wiboonponse, Songsak Sriboonchitta, Jittaporn Sriboonjit, Chukiat Chaiboonsri, Prasert Chaitip   +5 more
openaire   +1 more source

Horizon- and Regime-Dependent Performance of GARCH-Type Models: Evidence from Volatility Forecasting in a Frontier Market

International Journal of Financial Studies
In frontier markets, financial volatility exhibits long-memory properties and regime-dependent asymmetries that standard linear models do not capture. This leads to inaccuracies in forecasting risk when a single model is applied across regimes.
Abraham Kisembe Wawire, Christine Nanjala Simiyu, Munene Laiboni, Rogers Ochenge   +3 more
doaj   +1 more source

Quantile‐Dependent Volatility Interconnectedness Between Commodity Markets, Oil Price Uncertainty, and Global Supply Chain Pressure

Australian Economic Papers, Volume 65, Issue 3, Page 222-260, September 2026.
ABSTRACT This study examines volatility interconnectedness among selected agricultural commodities and precious/industrial metals, together with oil price uncertainty and global supply chain pressure, over the period January 1998 to June 2024 using a Quantile‐on‐Quantile connectedness framework.
Muhammed Benli, Halil Altıntaş
wiley   +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

Quantification of the stock market value at risk by using FIAPARCH, HYGARCH and FIGARCH models

Data Science in Finance and Economics, 2023
<abstract><p>The South African financial market is developing with periods of high and low volatility. Employing an adequate volatility model is essential to manage market risk. This research study was designed to investigate the effectiveness of the fractionally integrated asymmetric power autoregressive conditional heteroskedasticity ...
Moses Khumalo, Hopolang Mashele, Modisane Seitshiro   +2 more
openaire   +2 more sources

Forecasting Carbon Prices: A Literature Review

Journal of Forecasting, Volume 45, Issue 2, Page 496-529, March 2026.
ABSTRACT Carbon emissions trading is utilized by a growing number of states as a significant tool for addressing greenhouse gas emissions (GHG), global warming problem and the climate crisis. Accurate forecasting of carbon prices is essential for effective policy design and investment strategies in climate change mitigation.
Konstantinos Bisiotis, Dimitris Christopoulos, George Tzougas   +2 more
wiley   +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

Application of FIGARCH and EWMA Models on Stock Indices PX and BUX [PDF]

Acta Oeconomica Pragensia, 2011
Volatility of the financial time series belongs to the crucial estimated parameters in finance (e.g. in risk management, derivative pricing). It is well known, that volatility varies in time, so that new approaches of volatility modeling have appeared.
openaire   +1 more source

Investigating the Dynamic Correlation of the Turkish Stock Market With Conventional Financial Assets and Digital Currencies

Discrete Dynamics in Nature and Society, Volume 2026, Issue 1, 2026.
Today, the astonishing growth of digital currency has attracted many bold investors. This has caused digital currencies to be gradually introduced as a new asset class with its own criteria. However, the relationship between traditional assets and new assets is not yet deeply understood. This study’s objective is to investigate the dynamic relationship
Farzaneh Shams Tarnabi, Fabio Tramontana
wiley   +1 more source