Results 21 to 30 of about 13,792,612 (176)
Jump Driven Risk Model Performance in Cryptocurrency Market
International Journal of Financial Studies, 2020 This paper aims at identifying a validated risk model for the cryptocurrency market. We propose a stochastic volatility model with co-jumps in return and volatility (SVCJ) to highlight the role of jumps in returns and volatility in affecting Value-at ...
Ramzi Nekhili, Jahangir Sultan
doaj +1 more source
Forecasting of Global Market Prices of Major Financial Instruments
Journal of Probability and Statistics, 2020 One of the easiest and fastest ways of building a healthy financial future is investing in the global market. However, the prices of the global market are highly volatile due to the impact of economic crises.
Roshani W. Divisekara +2 more
doaj +1 more source
Using TGARCH, TGARCH-M, EGARCH, EGARCH-M, PGARCH and PGARCH-M models Gaussian and non-Gaussian for modeling (EUR/USD) and (GBP/USD) Exchange Rate [PDF]
, 2020 This paper aims to study characteristics of exchange rate volatility of (EUR/USD) and (GBP/USD) using daily closing prices for two time periods, sub-period form (1 January 2015 until 15 may 2020) and full period from(1 January 2010 until 15 may 2020 ...
Abdullah, Suhail Najm
core +1 more source
Modelling Stock Market Volatility: Evidence from India [PDF]
Managing Global Transitions, 2015 This study empirically investigates the volatility pattern of Indian stock market based on time series data which consists of daily closing prices of S&P CNX Nifty Index for ten years period from 1st January 2003 to 31st December 2012.
Karunanithy Banumathy +1 more
doaj
İstanbul İktisat Dergisi, 2023 This study aims to model the volatility features of Bitcoin, Ethereum, and Ripple, which are the cryptocurrencies with the greatest volumes that have come to the agenda since the global crisis, and to determine the presence and dates of price bubbles ...
Utku Altunöz
doaj +1 more source
Day-of-the-week effect on the Tunisian stock market return and volatility
Cogent Business & Management, 2016 In this paper, we examine empirically the day-of-the-week effect on the Tunisian stock exchange index (TUNINDEX) return and volatility. We use three multivariate general autoregressive conditional heteroscedasticity models (GARCH (1,1), EGARCH (1,1), and
Abdelkader Derbali, Slaheddine Hallara
doaj +1 more source
Modelling the Efficiency of TGARCH Model in Nigeria Inflation Rate
, 2021 In general, volatility is known and referred to as variance and it is a degree of spread of a random variable from its mean value. Two volatility models were considered in this paperwork.
Olayemi, Michael Sunday +3 more
core
Modeling and forecasting exchange rate volatility: Comparison between EEC and developed countries [PDF]
Industrija, 2015 The main objective of this study is to test the hypothesis that exchange rates in emerging countries are more sensitive to negative shocks than positive ones, and that developed ones do not exhibit this same pattern, at least not with the same intensity.
Miletić Siniša
doaj +1 more source
Realized TGARCH Model Incorporating Continuous and Jump Components as Exogenous Variables
, 2023 Volatilitas adalah ukuran fluktuasi harga aset keuangan yang tak terpisahkan dari dinamika pasar, tidak hanya sebagai indikator risiko tetapi juga sebagai sumber informasi tentang peluang dan ketidakpastian bagi investor.
Hanafi, Fika Maula
core
A New Implementation of Network GARCH Model for Stock Volatility and Co‐Volatility Forecasting
Journal of Forecasting, EarlyView.ABSTRACT Volatility clustering and spillovers are key features of financial time series with many cross‐sectional assets. While network analysis links similar or correlated stocks and helps trace volatility spillovers, contemporary multivariate ARCH‐GARCH formulations struggle to represent structured network dependence and remain parsimonious.
Peiyi Zhou
wiley +1 more source