Results 11 to 20 of about 113,493 (310)
Computation, 2022 Tourism forecasting has garnered considerable interest. However, integrating tourism forecasting with volatility is significantly less typical. This study investigates the performance of both the single models and their combinations for forecasting the ...
Yuruixian Zhang +3 more
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Comparing various GARCH-type models in the estimation and forecasts of volatility of S&P 500 returns during Global Finance Crisis of 2008 and COVID-19 financial crisis [PDF]
SHS Web of Conferences, 2023 In this study, we utilize various GARCH-type models to estimate and forecast volatility on S&P 500 returns and compare the results between the two financial crises, the GFC of 2008 (Global Financial Crisis of 2008) and the COVID-19 financial crisis ...
Chen Xuanyu
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Journal of Forecasting, 2006 AbstractIn this paper, we investigate the time series properties of S&P 100 volatility and the forecasting performance of different volatility models. We consider several nonparametric and parametric volatility measures, such as implied, realized and model‐based volatility, and show that these volatility processes exhibit an extremely slow mean ...
Nikolay Gospodinov +2 more
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Global economic policy uncertainty and stock volatility: evidence from emerging economies
Journal of Applied Economics, 2021 We investigate the impact of the global economic policy uncertainty (GEPU) on stock volatility for nine emerging economies (Brazil, Russia, India, China, South Africa, Mexico, Indonesia, South Korea, and Turkey).
Xiaoling Yu, Yirong Huang, Kaitian Xiao
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Modeling and Forecasting the Volatility of NIFTY 50 Using GARCH and RNN Models
Economies, 2022 The stock market is constantly shifting and full of unknowns. In India in 2000, technological advancements led to significant growth in the Indian stock market, introducing online share trading via the internet and computers.
Vanshu Mahajan +2 more
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Management forecasts of volatility [PDF]
Review of Accounting Studies, 2019 AbstractWe examine the predictive information content of the management forecasts of stock return volatility (i.e., expected volatility) that are disclosed in annual reports. We find that expected volatility predicts near-term and longer-term stock return volatility and earnings volatility incremental to implied volatility, historical volatility, firm ...
Atif Ellahie, Xiaoxia Peng
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Investors’ perspective on forecasting crude oil return volatility: Where do we stand today?
Journal of Management Science and Engineering, 2022 In this paper, we review studies of oil volatility prediction from a new perspective: that of investors who require economic evaluations of forecasting performance.
Li Liu +3 more
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Forecasting Volatility in Asian Stock Markets: Contributions of Local, Regional, and Global Factors
Asian Development Review, 2011 This paper examines volatility forecasting for the broad market indices of 12 Asian stock markets. After considering the long memory in volatility and volatility jumps, the paper incorporates local, regional, and global factors into a heterogeneous ...
Jianxin Wang
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Forecasting the Volatility of the Stock Index with Deep Learning Using Asymmetric Hurst Exponents
Fractal and Fractional, 2022 The prediction of the stock price index is a challenge even with advanced deep-learning technology. As a result, the analysis of volatility, which has been widely studied in traditional finance, has attracted attention among researchers.
Poongjin Cho, Minhyuk Lee
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KAJIAN MODEL HIDDEN MARKOV UNTUK MENDUGA VOLATILITAS INDEKS HARGA SAHAM
Prima: Jurnal Pendidikan Matematika, 2019 Abstrak Volatility is a measure of uncertainty. Volatility can either be measured by using the standard deviation or variance between returns. The problem is volatility is unobservable, and estimating volatility is not a trivial task.
Abdul Baist
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