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
europepmc +1 more source
Modelling International Tourism Demand and Volatility in Small Island Tourism Economies [PDF]
Small Island Tourism Economies (SITEs) vary in their size, land area, location, narrow resource bases, economic development, an overwhelming reliance on tourism, and a consistent inflow of foreign direct investment for economic growth.
Michael McAleer, Riaz Shareef
core
Traffic Volatility Forecasting Using an Omnibus Family GARCH Modeling Framework. [PDF]
Entropy (Basel), 2022 Ou J, Huang X, Zhou Y, Zhou Z, Nie Q.
europepmc +1 more source
Modelling Changes in the Unconditional Variance of Long Stock Return Series [PDF]
In this paper we develop a testing and modelling procedure for describing the long-term volatility movements over very long return series. For the purpose, we assume that volatility is multiplicatively decomposed into a conditional and an unconditional ...
Cristina Amado, Timo Terasvirta
core
On the Forecasting Accuracy of Multivariate GARCH Models [PDF]
This paper addresses the question of the selection of multivariate GARCH models in terms of variance matrix forecasting accuracy with a particular focus on relatively large scale problems.
Francesco Violante +2 more
core
Bootstrapping Fuzzy-GARCH Regressions on the Day of the Week Effect in Stock Returns: Applications in MATLAB [PDF]
This paper examines the well know day of the week effect on stock returns. Various approaches have been developed and applied in order to examine calendar effects in stock returns and to formulate appropriate financial and risk portfolios.
Giovanis, Eleftherios
core +1 more source
LONG-TERM VOLATILITY DYNAMICS OF THE GERMAN STOCK MARKET : INSIGHTS FROM TWO DECADES OF DAILY RETURNS [PDF]
Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria EconomieThis study provides an empirical analysis of the volatility dynamics of the Deutscher Aktienindex (DAX) stock index over a 20-year period based on daily observations, specifically from January 2, 2006, to March 20, 2026.
SHAHIL RAZA +6 more
doaj
What best predicts realized and implied volatility: GARCH, GJR or FCGARCH?
, 2011 This thesis focuses on forecasting realized volatility (RV) and implied volatility (IV) on equity markets, a subject of major importance for volatility traders. The accuracy of IV and GARCH-type models to predict RV has been researched extensively. However, little work has been done to model IV. We test the accuracy of GARCH-type models (GARCH, GJR and
openaire +1 more source
Enabling nondestructive observation of electrolyte composition in batteries with ultralow-field nuclear magnetic resonance. [PDF]
Chem SciFabricant AM +17 more
europepmc +1 more source
Forecasting with a Bivariate Hysteretic Time Series Model Incorporating Asymmetric Volatility and Dynamic Correlations. [PDF]
Entropy (Basel)Than HT.
europepmc +1 more source