The Dynamics of the Short-Term Interest Rate in the UK [PDF]
We estimate and test different continuous-time short-rate models for the UK. The preferred model encompasses both the “level effect” of Chan, Karolyi, Longstaff and Sanders (1992a) and the conditional heteroskedasticity effect of GARCH type models.
Alejandro Bernales +2 more
core
Modeling Market Volatility in Emerging Markets: The case of Daily Data in Amman Stock Exchange 1992-2004 [PDF]
This paper attempts to investigate the volatility of the Jordanian emerging stock market using daily observations from Amman Stock Exchange Composite Index (ASE) for the period from January 1, 1992 through December 31, 2004.
AL-KHOURI, Ritab, ROUSAN, Raya
core
Heteroskedasticity in Excess Bitcoin Return Data: Google Trend vs. GARCH Effects
Nauki o Finansach, 2019 This paper examines the mixture of distribution properties associated with heteroskedastic excess Bitcoin return data, using the volume of Google search queries as a proxy for the information arrival time, from a monthly data sampling period of June 2010
Chamil W. Senarathne, Tijana Šoja
doaj
Modelling and forecasting of Nigeria stock market volatility
Future Business JournalThis study models and forecasts the volatility of the Nigerian Stock Exchange (NSE) using advanced econometric techniques, focusing on examining the asymmetric volatility and the leverage effect. Daily data from the NSE All Share Index spanning from 30th
Olufemi Samuel Adegboyo, Kiran Sarwar
doaj +1 more source
Momentum Profits and Time-Varying Unsystematic Risk [PDF]
This study assesses whether the widely documented momentum profits can be ascribed to time-varying risk as described by a GJR-GARCH(1,1)-M model. Consistent with rational pricing in efficient markets, we reveal that momentum profits are a compensation ...
Chris Brooks, Joelle Miffre, Xiafei Li
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Stationarity and the Existence of Moments of a Family of GARCH Processes, [PDF]
This paper investigates some structural properties of a family of GARCH processes. A simple sufficient condition for the existence of the alpha delta-order stationary solution of the processes is derived, where alpha belongs to (0,1] and delta > 0.
Michael McAleer, Shiqing Ling
core
Modelling volatility by variance decomposition [PDF]
, 2011 In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the variance of the model to have a smooth time-varying structure of either additive or multiplicative type.
Amado, Cristina, Teräsvirta, Timo
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The impact of economic sentiment on European stock markets
Entrepreneurial Business and Economics ReviewObjective: This article aims to analyse the impact of sentiment indicators reflecting the condition of major economies on the returns and volatility of European developed, emerging, and frontier stock markets.
Anna Czapkiewicz +2 more
doaj +1 more source
South African inflation modelling using bootstrapped long short-term memory methods. [PDF]
SN Bus Econ, 2023 Kubheka S.
europepmc +1 more source
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