Results 41 to 50 of about 36,176 (157)

Time Series Analysis Using Wavelets And Gjr-Garch Models

, 2012
Publication in the conference proceedings of EUSIPCO, Bucharest, Romania ...
Borda, Monica, Gherman, Mircea, Terebes, Romulus   +2 more
openaire   +1 more source

Quantifying Foreign Exchange Risk in the Selected Listed Sectors of the Johannesburg Stock Exchange: An SV-EVT Pairwise Copula Approach

International Journal of Financial Studies, 2022
This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign exchange rates and equity indices of the Johannesburg Stock Exchange (JSE) and to model the dependence structure of the underlying assets ...
Joel Hinaunye Eita, Charles Raoul Tchuinkam Djemo   +1 more
doaj   +1 more source

Volatility Forecasting Using a Hybrid GJR-GARCH Neural Network Model

Procedia Computer Science, 2014
AbstractVolatility forecasting in the financial markets, along with the development of financial models, is important in the areas of risk management and asset pricing, among others. Previous testing has shown that asymmetric GARCH models outperform other GARCH family models with regard to volatility prediction.
Monfared, Soheil Almasi, Enke, David
openaire   +1 more source

Forecasting Performance of Asymmetric GARCH Stock Market Volatility Models

East Asian Economic Review, 2009
We investigate the asymmetry between positive and negative returns in their effect on conditional variance of the stock market index and incorporate the characteristics to form an out-of-sample volatility forecast.
Hojin Lee
doaj   +1 more source

Estimating Value at Risk of Portfolio of Oil and Gold by Copula-GARCH Method [PDF]

تحقیقات مالی, 2014
Copula functions are powerful tools that describe dependence structure of multi- dimension random variables and are considered as one of the newest tools for risk management.
Saeed Fallahpour, Ehsan Ahmadi
doaj   +1 more source

COVID-19 and Uncertainty Effects on Tunisian Stock Market Volatility: Insights from GJR-GARCH, Wavelet Coherence, and ARDL

Journal of Risk and Financial Management
This study rigorously investigates the impact of COVID-19 on Tunisian stock market volatility. The investigation spans from January 2020 to December 2022, employing a GJR-GARCH model, bias-corrected wavelet analysis, and an ARDL approach.
Emna Trabelsi
semanticscholar   +1 more source

COVID-19 Pandemic and Volatility Persistence of the Nigerian Crude Oil Price

Journal of Applied Sciences and Environmental Management, 2022
Impacts of COVID-19 pandemic on the global economy cannot be overemphasized, especially with Nigeria, which largely depends on crude oil as a major source of her revenue.
T. K. Samson, M. A. Raheem
doaj   +1 more source

The Spillover Effects of Market Sentiments on Global Stock Market Volatility: A Multi-Country GJR-GARCH-MIDAS Approach

Journal of Risk and Financial Management
In behavioral economics, it has widely been documented that there might be a close relationship between overall market sentiment and economic performance, such as GDP per capita.
Sarula Bai, Jaewon Jung, Shun Li
semanticscholar   +1 more source

Value-at-Risk Estimation of Indofood (ICBP) and Gas Company (PGAS) Stocks Using the ARMA-GJR-GARCH Model

Operations Research: International Conference Series, 2021
Stocks are one of the most widely used financial market instruments by investors in investing. The most important component of any investment is volatility.
H. Napitupulu, R. Hidayana, Jumadil Saputra   +2 more
semanticscholar   +1 more source

Social media and financial markets: The impact of Twitter sentiment on the Johannesburg Stock Exchange

Modern Finance
This study examines the effect of Twitter-derived investor sentiment on stock market volatility in South Africa using daily data for the JSE All Share Index from 2016 to 2023.
Thiasha Naidoo
doaj   +1 more source