Results 21 to 30 of about 6,227 (165)
Equity Risk: Measuring Return Volatility Using Historical High-Frequency Data
Studies in Business and Economics, 2019 Market Volatility has been investigated at great lengths, but the measure of historical volatility, referred to as the relative volatility, is inconsistent.
Alan Chow, Kyre Lahtinen
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Forecasting realized volatility through financial turbulence and neural networks
Economics and Business Review, 2023 This paper introduces and examines a novel realized volatility forecasting model that makes use of Long Short-Term Memory (LSTM) neural networks and the risk metric financial turbulence (FT).
Souto Hugo Gobato, Moradi Amir
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Comparing GARCH Models by Introducing Fuzzy Asymmetric Realized GARCH [PDF]
مدلسازی اقتصادسنجی, 2018 Estimation of conditional variance has lots of application reflecting economic, especially financial economics, social economics and political economics’ risk and volatility research.
Esmaiel Abounoori, Mohammad Amin Zabol
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RisksIf intraday price data are unavailable, then using daily returns to construct realized measures of the variances of lower-frequency returns is a natural substitute for using high-frequency returns in this context.
Chris Kirby
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Bivariate Volatility Modeling with High-Frequency Data
Econometrics, 2019 We propose a methodology to include night volatility estimates in the day volatility modeling problem with high-frequency data in a realized generalized autoregressive conditional heteroskedasticity (GARCH) framework, which takes advantage of the natural
Marius Matei, Xari Rovira, Núria Agell
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FORECASTING THE REALIZED VOLATILITY OF ISLAMIC EQUITIES USING MULTIVARIATE HAR-TYPE MODELS
The International Journal of Banking and FinanceThis study proposes nine multivariate intraday models using various realized variation measures with the aim to improve volatility forecasting in the Islamic stock market in Malaysia using a dataset from 1st April 2008 to 31st March 2018.
Sew Lai Ng +3 more
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Stock Market Synchronization and Stock Volatility: The Case of an Emerging Market
Revista Mexicana de Economía y Finanzas Nueva Época REMEF, 2022 The purpose of this paper is to study the effect of stock market synchronization on the volatility of its component assets. For this objective, we calculate the stock market's synchronization using the Minimum Spanning Tree Length (MSTL) network analysis
Nicolás Magner Pulgar +2 more
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Modeling of Returns and Trading Volume by Regime Switching Copulas
Managerial Economics, 2013 The structure of links between realized volatility and trading volume can be reflected by regime switching copulas. The estimation by means of copula based regime switching models delivered results concerning the interdependencies between realized return
Henryk Gurgul +2 more
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Forecast Combinations in the Presence of Structural Breaks: Evidence from U.S. Equity Markets
Mathematics, 2018 Realized volatility, building on the theory of a simple continuous time process, has recently received attention as a nonparametric ex-post estimate of the return variation. This paper addresses the problem of parameter instability due to the presence of
Davide De Gaetano
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GARMA, HAR and Rules of Thumb for Modelling Realized Volatility
Risks, 2023 This paper features an analysis of the relative effectiveness, in terms of the Adjusted R-Square, of a variety of methods of modelling realized volatility (RV), namely the use of Gegenbauer processes in Auto-Regressive Moving Average format, GARMA, as ...
David Edmund Allen, Shelton Peiris
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