Results 71 to 80 of about 4,724 (162)

How Volatile is ENSO? [PDF]

The El Niños Southern Oscillations (ENSO) is a periodical phenomenon of climatic interannual variability which could be measured through either the Southern Oscillation Index (SOI) or the Sea Surface Temperature (SST) Index.
Chen, C-C., Chu, L.F., McAleer, M.J.
core   +4 more sources

The Forecasting Ability of GARCH Models for the 2003–07 Crisis: Evidence from S&P500 Index Volatility

The Lahore Journal of Business, 2012
This article studies the ability of the GARCH family of models to accurately forecast the volatility of S&P500 stock index returns across the financial crisis that affected markets in 2003–07.
Mahreen Mahmud
doaj  

COMPARISON OF THE VOLATILITY OF GARCH FAMILY MODEL IN THE CRYPTOCURRENCY MARKET: SYMMETRY VERSUS ASYMMETRY

Barekeng
Cryptocurrencies can be considered an individual asset class due to their distinct risk/return characteristics and low correlation with other asset classes.
Asysta Amalia Pasaribu, Aminatus Sa'adah
doaj   +1 more source

BACKTESTING VALUE AT RISK MODELS IN THE PRESENCE OF STRUCTURAL BREAK ON THE ROMANIAN AND HUNGARIAN STOCK MARKETS [PDF]

Annals of the University of Oradea: Economic Science, 2014
Transactions on financial markets are associated with variability, risk and uncertainty, so quantification of risk has a great importance. Beside Standard Deviation and Variance, one of the most involved risk measure methods is Value-at-Risk (VaR).
Cociuba Mihail Ioan, Zapodeanu Daniela, Kulcsar Edina,   +3 more
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"Cruising is Risky Business" [PDF]

As the fastest growing sector within the international tourism industry, having grown at roughly double the rate of international tourism as a whole, the cruise liner business has shown impressive growth in the North American and European markets.
Ana Bartolome, Javier Rey-Maquieira, Michael McAleer, Vicente Ramos   +3 more
core  

A Comparative APARCH Volatility Study of International Markets

Economies
This paper compares the daily return volatility by four leading international indices: JSE Top 40, FTSE 100, Nikkei 225 and S&P/ASX 200. The return series are modelled in ARMA process, where ARMA(1,3) values are taken for JSE Top 40 and S&P/ASX 200, ARMA(
Fhulufhedzani Justice Madega, Thinawanga Hangwani Tshisikhawe, Thakhani Ravele, Caston Sigauke   +3 more
doaj   +1 more source

Exchange rate exposure of stock returns at firm level [PDF]

The use of conventional augmented CAPM specification in estimating the exchange rate exposure may result in less reliable estimates for, at least, two reasons.
Gamini Premaratne, Prabhath Jayasinghe
core  

Estimating and Forecasting Volatility of Financial Time Series in Pakistan with GARCH-type Models

Lahore Journal of Economics
In 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  

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