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The Modeling the returns volatility of Indonesian stock indices: The case of SRI-KEHATI and LQ45
Jurnal Ekonomi Modernisasi, 2022 The purpose of this research is to model the volatility of Stock Indices in Indonesian capital market. This research focuses on two stock indices namely SRI-KEHATI and LQ45.
Regi Muzio Ponziani
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Asymmetry and Leverage in Conditional Volatility Models
Econometrics, 2014 The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle ...
Michael McAleer
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Copernican Journal of Finance & Accounting, 2015 The modelling of market returns can be especially problematical in emerging and frontier financial markets given the propensity of their returns to exhibit significant non-normality and volatility asymmetries.
Heitham Al-Hajieh +3 more
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International Journal of Financial Studies, 2022 This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign exchange rates and equity indices of the Johannesburg Stock Exchange (JSE) and to model the dependence structure of the underlying assets ...
Joel Hinaunye Eita +1 more
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Day-of-the-week and month-of-the-year effects on French Small-Cap Volatility: the role of asymmetry and long memory [PDF]
Eastern Journal of European Studies, 2019 Small-cap stocks are characterized by high volatility and offer investors the opportunity to earn higher returns. This paper empirically investigates the impact of the day-of-the-week and the month-of-the year effects on the volatility of daily and ...
Mohamed CHIKHI +2 more
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Price Risk Measurement of China’s Soybean Futures Market Based on the VAR‐GJR‐GARCH Model [PDF]
Complexity, 2021 As one of the main forces in the futures market, agricultural product futures occupy an important position in China’s market. As China’s futures market started late and its maturity was low, there are many risks. This study focuses on the Dalian soybean futures market.
Chuan-hui Wang +4 more
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ESTIMATING VOLATILITY CLUSTERING USING GJR-GARCH MODEL: A CASE STUDY FOR GERMAN STOCK MARKET [PDF]
Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria Economie, 2022 The purpose of this article is to concentrate on the stylized data in the financial series of the major index DAX of the German stock market. Moreover, we investigated the effects of positive and negative news on the volatility of the stock market of ...
RACHANA BAID +4 more
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Time Series Analysis Using Wavelets And Gjr-Garch Models
, 2012 Publication in the conference proceedings of EUSIPCO, Bucharest, Romania ...
Borda, Monica +2 more
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Volatility Forecasting Using a Hybrid GJR-GARCH Neural Network Model
Procedia Computer Science, 2014 AbstractVolatility forecasting in the financial markets, along with the development of financial models, is important in the areas of risk management and asset pricing, among others. Previous testing has shown that asymmetric GARCH models outperform other GARCH family models with regard to volatility prediction.
Monfared, Soheil Almasi, Enke, David
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COVID-19 Pandemic and Volatility Persistence of the Nigerian Crude Oil Price
Journal of Applied Sciences and Environmental Management, 2022 Impacts of COVID-19 pandemic on the global economy cannot be overemphasized, especially with Nigeria, which largely depends on crude oil as a major source of her revenue.
T. K. Samson, M. A. Raheem
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