Results 11 to 20 of about 13,792,612 (176)
Modelling Stock Indexes Volatility of Emerging Markets
JISR Management and Social Sciences & Economics, 2017 This study aims to investigate the use of ARCH (autoregressive conditional heteroscedasticity) family models for forecasting volatility of four regional emerging stock markets i.e. KSE 100, BSE-SENSEX, DSE 20 and SSE Composite index.
Farhan Ahmed +2 more
doaj +1 more source
Quantifying Long-Term Volatility for Developed Stock Markets: An Empirical Case Study Using PGARCH Model on Toronto Stock Exchange (TSX) [PDF]
Annals of Dunarea de Jos University. Fascicle I : Economics and Applied Informatics, 2023 High frequency data is a recent entrant to the world of statistics as they relate to the markets. This study measures the volatility of S& P / Toronto index by utilizing the GARCH family models (EGARCH, TGARCH, MGARCH and PGARCH models) using a daily ...
Meher Kumar BHARAT +4 more
doaj +1 more source
The determinants of stock–bond return correlations
Journal of Financial Research, Volume 46, Issue 3, Page 711-732, Fall 2023., 2023 Abstract I study the options‐implied market risks that affect US stock–bond correlations from 2007 to 2021. I discover that US stock and bond market uncertainty, stock market tail risk, and global credit‐default risk are dominant contributors to changing stock–bond correlations during the global financial crisis (GFC) period.
Ghulam Sarwar
wiley +1 more source
Is inflation uncertainty a self‐fulfilling prophecy in South Africa?
South African Journal of Economics, Volume 91, Issue 3, Page 306-329, September 2023., 2023 Abstract Inflation uncertainty causes macroeconomic ills and instability in the economy. This paper investigates if rising levels of inflation uncertainty serve as a source of higher inflation outcomes or vice versa, to determine if inflation uncertainty is potentially a self‐fulfilling prophecy. In addition, this paper examines the impact of inflation
Chevaughn van der Westhuizen +2 more
wiley +1 more source
Energy Science &Engineering, Volume 11, Issue 3, Page 1148-1179, March 2023., 2023 A novel hybrid model is proposed for carbon price forecasting. The effects of exogenous variables on carbon prices are considered at different time scales. Advanced multifactor interpretable models are used for the first time in carbon price forecasting. Analyzing the importance of exogenous variables and the time dependence in carbon price forecasting
Yue Wang +3 more
wiley +1 more source
International Journal of Mathematics and Mathematical Sciences, Volume 2023, Issue 1, 2023., 2023 We use the exponential Ornstein–Uhlenbeck model to predict the stock price dynamics over some finite time horizon of interest. The predictions are the key to the investors in a financial market because they provide vital reference information for decision making. We estimated all the parameters of the model (mean reversion speed, long‐run mean, and the
Juma Kasozi +3 more
wiley +1 more source
Journal of Management and Business Review, 2017 Penelitian ini bertujuan mengkaji asymmetric volatility spillover phenomenon dalam mekanisme transmisi spillover volatilitas return dari pasar saham Jepang kepada pasar saham Indonesia.
Petra Minurvia Yudha
doaj +1 more source
Equity market volatility behavior in Sri Lankan context
Kelaniya Journal of Management, 2016 Colombo Stock Exchange (CSE) in Sri Lanka is at its first level of emerging markets. Volatility of emerging markets are considered to be high and characterized by complex features.
P. S. Morawakage, P. D. Nimal
doaj +1 more source
Cogent Economics & Finance, 2016 This paper empirically compares the usefulness of information included in the volatility index (VIX) against several generalized autoregressive conditional heteroskedasticity (GARCH) models for predicting downside risk in the US stock market.
Chikashi Tsuji
doaj +1 more source
Modelling gold price using ARIMA-TGARCH [PDF]
, 2016 Statistical models can be used to characterize numerical data so as to understand its behavior and pattern. Gold price model, for example, can give signals to investors as to when they should enter and/or exit the market.
Siti Roslindar, Yaziz +3 more
core +1 more source