Green Hydrogen Market and Green Cryptocurrencies: A Dynamic Correlation Analysis
CommoditiesThe urgent need to mitigate climate change has elevated green hydrogen as a sustainable alternative to fossil fuels, while green cryptocurrencies have emerged to address the environmental concerns of traditional cryptocurrency mining.
Eder J. A. L. Pereira +2 more
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Analysis of Investor Sentiment Impact in Indonesia Composite Stock Price Index Return Volatility
Indonesian Journal of Business and Entrepreneurship, 2018 The Composite Stock Price Index (IHSG) is an index used as an indicator of stock price movements on Indonesia Stock Exchange and reference of capital market activities.
Rum Puspita Widhiarti +2 more
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A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting
, 2013 Forecasting stock market returns volatility is a challenging task that has attracted the attention of market practitioners, regulators and academics in recent years. This paper proposes a Fuzzy GJR-GARCH model to forecast the volatility of S&P 500 and Ibovespa indexes.
openaire +3 more sources
Estimating and Forecasting Volatility of Financial Time Series in Pakistan with GARCH-type Models
Lahore Journal of EconomicsIn this paper we compare the performance of different GARCH models such as GARCH, EGARCH, GJR and APARCH models, to characterize and forecast financial time series volatility in Pakistan.
G.R. Pasha, Tahira Qasim, Muhammad Aslam
doaj
Modelo Híbrido GJR-GARCH Nebuloso para a Previsão da Volatilidade em Mercados de Ações
Brazilian Review of Finance, 2012 A previsão da volatilidade dos retornos de ativos financeiros é uma abordagem desafiadora e tem atraído a atenção de participantes do mercado, reguladores e acadêmicos nos anos recentes. Este artigo propõe um modelo GJR-GARCH nebuloso para a previsão da volatilidade dos índices S&P 500 e Ibovespa.
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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
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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
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
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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
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