Forecasting Stock Index Volatility: The Incremental Information in the Intraday High-Low Price Range [PDF]
We compare the incremental information content of implied volatility and intraday high-low range volatility in the context of conditional volatilityforecasts for three major market indexes: the S&P 100, the S&P 500, and the Nasdaq 100.
Cameron Truong, Charles Corrado
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OVERCONFIDENCE BIAS: EXPLANATION OF MARKET ANOMALIES FRENCH MARKET CASE [PDF]
In this study, we test whether the overconfidence bias explains several stylized market anomalous, including a short-term continuation (momentum), a long-term reversal in stock returns, high levels of trading volume and excessive volatility.
Abdelfettah BOURI +2 more
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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
doaj +1 more source
Empirical performance of GARCH, GARCH-M, GJR-GARCH and log-GARCH models for returns volatility
Journal of Physics: Conference Series, 2019 Abstract Volatility plays an important role in the field of financial econometrics as one of the risk indicators. Many various models address the problem of modeling the volatilities of financial asset returns. This study provides a new empirical performance comparison of the four different GARCH-type models, namely GARCH, GARCH-M, GJR ...
D B Nugroho +5 more
openaire +1 more source
Regime shifts in asymmetric GARCH models assuming heavy-tailed distribution: Evidence from GCC stock markets [PDF]
, 2012 In this study, we have investigated GCC stock market volatilities exploiting a number of asymmetric models (EGARCH, ICSS-EGARCH, GJR-GARCH, and ICSS-GJR-GARCH).This paper uses the weekly data over the period 2003-2010.
Alfreedi, Ajab A. +2 more
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The Asymmetric Impulse of the Sunshine Effect on Stock Returns and Volatilities [PDF]
This study constructs a variety of GARCH models with the consideration of the generalized error distribution to analyze the relationship between the cloud cover and stock returns in Taiwan in the whole sample period (1986 to 2007) and in the two sub ...
Kuan-Min Wang, Yuan-Ming Lee
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Vertės pokyčio rizikos vertinimas taikant vienmatį režimų pasikeitimo MS–GJR–GARCH kopulos modelį
Vilnius University Open SeriesVertės pokyčio rizikos rodiklis yra vienas dažniausiai naudojamų pinigų finansų įstaigų sektoriuje galimam nuostoliui vertinti. Šiame darbe pastarasis rodiklis yra vertinamas taikant vienmatį režimų pasikeitimo MS–GJR–GARCH kopulos modelį, kuris modeliuoja ne tik volatilumą bei jo pokytį laike, bet ir atsižvelgia į priklausomybės struktūrą. Nagrinėjant
Ivanauskas, Eugenijus Gabrielius +1 more
openaire +2 more sources
Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure [PDF]
In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the conditional variance to have a smooth time-varying structure of either additive or multiplicative type.
Amado, Cristina, Teräsvirta, Timo
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Wavelet-based detection of outliers in volatility models [PDF]
, 2009 Outliers in financial data can lead to model parameter estimation biases, invalid inferences and poor volatility forecasts. Therefore, their detection and correction should be taken seriously when modeling financial data.
Grané, Aurea, Veiga, Helena
core +2 more sources
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
doaj +1 more source