Results 41 to 50 of about 13,792,612 (176)

Unveiling Complex Seasonality in Stock Price Forecasting Using a Seasonal‐Adjusted Hybrid Machine Learning Approach

Applied Computational Intelligence and Soft Computing, Volume 2026, Issue 1, 2026.
In emerging financial markets, stock price forecasting is challenged by nonstationarity, irregular trading calendars, and evolving structural dynamics that limit the effectiveness of conventional linear models. This study develops and evaluates a seasonal‐adjusted hybrid machine learning framework to forecast the daily closing stock prices of Square ...
K. M. Zahidul Islam, Amrin Binte Ahmed, Adisha Dulmini, Dulsaba Azmain, Md. Mahin Uddin Qureshi, Meherun Ahmed, Mst. Nilufar Yasmin, Muhammad Khairul Alam, Rumana Rois, Zhaocai Wang   +9 more
wiley   +1 more source

Information arrival and volatility: Evidence from the Saudi Stock Exchange (Tadawul) [PDF]

Panoeconomicus, 2017
This paper investigates the validation of the Mixture of Distributions Hypothesis (MDH) using trading volume and number of trades as contemporaneous proxies for information arrival in 15 sector indices of the Saudi Stock Exchange (Tadawul) using
Ezzat Hassan, Kirkulak-Uludag Berna
doaj   +1 more source

The Information Content of Overnight Information for Volatility Forecasting: Evidence From China's Stock Market

Journal of Forecasting, Volume 44, Issue 8, Page 2331-2345, December 2025.
ABSTRACT Using overnight volatility as the proxy for overnight information, this paper models future Chinese stock market realized range–based volatility (RRV) within a class of heterogeneous autoregressive models augmented by this proxy. We confirm the important role of overnight information in volatility forecasting models with strong evidence from ...
Yi Zhang, Long Zhou, Zhidong Liu
wiley   +1 more source

Comparison of the Symmetric and Asymmetric Generalized Autoregressive Conditional Heteroscedasticity (GARCH) Models in Forecasting the 2018-2023 Jakarta Composite Index

ComTech
The Autoregressive Integrated Moving Average with Exogenous Variables (ARIMAX) method assumes a homogeneous residual variance, but data with high volatility can cause violations of this assumption.
Yenni Angraini, Adelia Putri Pangestika, I Made Sumertajaya   +2 more
doaj   +1 more source

Forecasting Inflation Applying ARIMA Model with GARCH Innovation: The Case of Pakistan

Journal of Accounting and Finance in Emerging Economies, 2021
Purpose: The research aims to build a suitable model for the conditional mean and conditional variance for forecasting the rate of inflation in Pakistan by summarizing the properties of the series and characterizing its salient features.
Tahira Bano Qasim, Hina Ali, Natasha Malik, Malika Liaquat   +3 more
doaj   +1 more source

Spatial and spatiotemporal volatility models: A review

Journal of Economic Surveys, Volume 39, Issue 3, Page 1037-1091, July 2025.
Abstract Spatial and spatiotemporal volatility models are a class of models designed to capture spatial dependence in the volatility of spatial and spatiotemporal data. Spatial dependence in the volatility may arise due to spatial spillovers among locations; that is, in the case of positive spatial dependence, if two locations are in close proximity ...
Philipp Otto, Osman Doğan, Süleyman Taşpınar, Wolfgang Schmid, Anil K. Bera   +4 more
wiley   +1 more source

Modelling Stock Market Volatility During the COVID-19 Pandemic: Evidence from BRICS Countries

Managing Global Transitions, 2023
The objective of the research paper is to identify the stock market volatility pattern of BRICS countries during the outbreak of the COVID-19 pandemic.
Karunanithy Banumathy
doaj   +1 more source

‘Take Back Control’: The implications of Brexit uncertainty on investor perception of ESG reputational events

European Financial Management, Volume 31, Issue 1, Page 72-114, January 2025.
Abstract This study examines the impact of Brexit on investor reactions to Environmental, Social and Governance (ESG) events in UK companies. Post‐Brexit, investors show reduced sensitivity to ESG incidents, suggesting relaxed corporate accountability for ESG disasters. We observe varied investor responses to different ESG events, with most having less
Erdinc Akyildirim, Thomas Conlon, Shaen Corbet, Les Oxley   +3 more
wiley   +1 more source

Pendekatan Single Index Model dengan Pemodelan EGARCH, TGARCH, dan APARCH pada Saham Sub Sektor Kelapa Sawit [PDF]

Investasi adalah menanam modal dalam suatu instrumen investasi dengan harapan di masa depan nilai kekayaannya tersebut semakin meningkat dan besar. Pada saham terdapat sub sektornya adalah kelapa sawit, industri kelapa sawit telah menyediakan lapangan ...
Atok, R. Mohamad; Departemen Aktuaria Institut Teknologi Sepuluh Nopember Surabaya, Soehardjoepri, Soehardjoepri; Departemen Matematika Institut Teknologi Sepuluh Nopember Surabaya, Wijaya, Gede Rama Darma; Departemen Aktuaria Institut Teknologi Sepuluh Nopember Surabaya   +2 more
core   +4 more sources

Evaluation of VaR Estimates based on ARCH type Models [PDF]

فصلنامه پژوهش‌های اقتصادی ایران, 2011
This paper studies four ARCH type models including ARCH, GARCH, EGARCH and TGARCH at Value at Risk (VaR) estimation. The four models were applied to daily Tehran stock market data to assess each model in estimating one day Value at Risk at various ...
Naser Khiabani, Maryam Sarooghi
doaj