Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation [PDF]
In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. Recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance.
Massimiliano Caporin, Michael McAleer
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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
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
Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO [PDF]
The hog industry, where prices are determined according to an auction system, is of vital importance to the agricultural industry in Taiwan by providing significant production and employment.
Biing-Wen Huang +3 more
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QuipukamayocObjetivo: Evaluar la eficacia de los modelos de aprendizaje profundo y sus extensiones con los modelos de volatilidad condicional en la predicción de la volatilidad del Índice S&P/BVL Peru General.
Abraham Puente De La Vega Caceres
doaj +1 more source
Dynamic correlation and hedging ability of precious metals in pre- and post-COVID periods
Cogent Economics & FinanceThis study examines the dynamic correlations and hedge ratios of precious metal stock returns of the Johannesburg stock exchange in pre- and post-COVID scenarios to determine if they can be used to hedge against adverse market movements.
Hamdan Bukenya Ntare +2 more
doaj +1 more source
Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations [PDF]
In this paper we investigate the effects of careful modelling the long-run dynamics of the volatilities of stock market returns on the conditional correlation structure.
Cristina Amado, Timo Teräsvirta
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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
A Comparative APARCH Volatility Study of International Markets
EconomiesThis 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 +3 more
doaj +1 more source
"Risk Management for International Tourist Arrivals: An Application to the Balearic Islands, Spain" [PDF]
Spain is a leader in terms of total international tourist arrivals and receipts. The Balearic Islands are one of the most popular destinations in Spain. For tourism management and marketing, it is essential to forecast tourist arrivals accurately.
Ana Bartolome +3 more
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