VOLATILITY AND VAR FORECASTING FOR THE IBEX-35 STOCK-RETURN INDEX USING FIGARCH-TYPE PROCESSES AND DIFFERENT EVALUATION CRITERIA [PDF]
In this paper I analyze the relative performance of Gaussian and Student-t GARCH and FIGARCH type models for volatility and Value-at-Risk forecasting of daily stock-returns using data from the Spanish equity index IBEX-35.
Trino-Manuel Ñíguez
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Symmetric and asymmetric GARCH estimations of the impact of oil price uncertainty on output growth: evidence from the G7. [PDF]
Lett Spat Resour Sci, 2023 Alao RO +5 more
europepmc +1 more source
The multi-fractal model of asset returns : its estimation via GMM and its use for volatility forecasting [PDF]
Multi-fractal processes have been proposed as a new formalism for modeling the time series of returns in finance. The major attraction of these processes is their ability to generate various degrees of long memory in different powers of returns - a ...
Lux, Thomas
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Modelling time-varying volatility using GARCH models: evidence from the Indian stock market. [PDF]
F1000Res, 2022 Ali F, Suri P, Kaur T, Bisht D.
europepmc +1 more source
How Risky Is the Value at Risk? [PDF]
The recent financial crisis has raised numerous questions about the accuracy of value-at-risk (VaR) as a tool to quantify extreme losses. In this paper we present empirical evidence from assessing the out-of-sample performance and robustness of VaR ...
Roxana Chiriac, Winfried Pohlmeier
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RisksThis paper analyzes the volatility relationship between the Romanian BET index and the U.S. SFT-500 index during the period 2019–2024, with a particular focus on the impact of political and geopolitical shocks.
Kamer-Ainur Aivaz +5 more
doaj +1 more source
Bayesian analysis of FIAPARCH model: an application to São Paulo stock market [PDF]
, 2010 In this paper, we develop a Bayesian analysis of a FIAPARCH(p,d,q) model for parameter estimation and conditional variance prediction. In order to study the inference problem we use the Metropolis-Hastings algorithm.This methodology is illustrated in a ...
Pereira, Isabel, Safadi, Thelma
core +1 more source
Long Memory Persistence in the Factor of Implied Volatility Dynamics [PDF]
The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IV S). Practical applications require reducing the dimension and characterize its dynamics through a small number of ...
Julius Mungo, Wolfgang Härdle
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Is Bitcoin's Carbon Footprint Persistent? Multifractal Evidence and Policy Implications. [PDF]
Entropy (Basel), 2022 Ghosh B, Bouri E.
europepmc +1 more source
Long memory of volatility measures in time series [PDF]
The authors analyse relations between the long memory parameter of conditional variance and estimates of the long memory in squared residuals in FIGARCH models. The investigations are performed by means of simulations FIGARCH(0, d, 0) and FIGARCH(1, d, 1)
Henryk Gurgul, Tomasz Wojtowicz
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