Results 51 to 60 of about 2,061 (206)

On the integrated behaviour of non-stationary volatility in stock markets [PDF]

, 2006
This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35 (Spain) and the ...
Andreia Dionisio, Baillie, Barton, Bollerslev, Bollerslev, Darrat, Diana A. Mendes, Engle, Engle, Engle, Johansen, Johansen, Lamoureux, Meddahi, Nelson, Phylaktis, Rui Menezes, Vilasuso   +17 more
core   +5 more sources

Modelling Volatility Cycles: The MF2‐GARCH Model

Journal of Applied Econometrics, Volume 40, Issue 4, Page 438-454, June/July 2025.
ABSTRACT We propose a novel multiplicative factor multi‐frequency GARCH (MF2‐GARCH) model, which exploits the empirical fact that the daily standardized forecast errors of one‐component GARCH models are predictable by a moving average of past standardized forecast errors.
Christian Conrad, Robert F. Engle
wiley   +1 more source

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

Out-of-sample Forecasting Performance of Won/Dollar Exchange Rate Return Volatility Model

East Asian Economic Review, 2009
We compare the out-of-sample forecasting performance of volatility models using daily exchange rate for the KRW/USD during the period from 1992 to 2008.
Hojin Lee
doaj   +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

Do Scarce Precious Metals Equate to Safe Harbor Investments? The Case of Platinum and Palladium

Economics Research International, Volume 2016, Issue 1, 2016., 2016
This research establishes the predictability and safe harbor properties of two scarce precious metals, namely, platinum and palladium. Utilizing their spot prices, the study concludes intermediate memory in the return structures of both precious metals, which implies the instability of platinum and palladium returns’ persistency in the long run ...
John Francis T. Diaz, Jean Paul Chavas
wiley   +1 more source

Value-at-Risk da Carteira do Ibovespa: uma análise com o uso de modelos de memória longa Value-at-Risk for Ibovespa: an analysis using long memory models

Gestão & Produção, 2012
O presente estudo propõe uma análise comparativa de dez modelos de volatilidade para o cálculo do Value-at-Risk (VaR) para carteira teórica do Ibovespa, considerando a presença de memória longa na série temporal dos seus retornos diários.
Luiz Eduardo Gaio, Tabajara Pimenta Júnior   +1 more
doaj   +1 more source

Volatility forecasts: a continuous time model versus discrete time models [PDF]

, 2006
This paper compares empirically the forecasting performance of a continuous time stochastic volatility model with two volatility factors (SV2F) to a set of alternative models (GARCH, FIGARCH, HYGARCH, FIEGARCH and Component GARCH).
Veiga, Helena
core   +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

A Skewed Student-t Value-at-Risk Approach for Long Memory Volatility Processes in Japanese Financial Markets

East Asian Economic Review, 2007
This paper investigates the relevance of skewed Student-t distributions in capturing long memory volatility properties in the daily return series of Japanese financial data (Nikkei 225 Index and JPY-USD exchange rate).
Seong¡-Min Yoon , Sang-Hoon Kang
doaj   +1 more source