Results 311 to 320 of about 1,459,377 (344)

Trading Volume and Realized Volatility Forecasting: Evidence from the China Stock Market

Journal of Forecasting, 2022
Min Liu, W. Choo, Chi‐Chuan Lee, Chien‐Chiang Lee   +3 more
semanticscholar   +1 more source

A hybrid volatility forecasting framework integrating GARCH, artificial neural network, technical analysis and principal components analysis

Expert systems with applications, 2018
Measurement, prediction, and modeling of currency price volatility constitutes an important area of research at both the national and corporate level. Countries attempt to understand currency volatility to set national economic policies and firms to best
Werner D. Kristjanpoller, Marcel C. Minutolo   +1 more
semanticscholar   +1 more source

VIX and volatility forecasting: A new insight

Physica A: Statistical Mechanics and its Applications, 2019
This study uses a new fresh look to investigate the linkages between the CBOE VIX and stock market volatility. In this paper, we use 13 stock markets of the G20 to do our research and document several important findings. First, in most countries, the VIX
Hui Wang
semanticscholar   +1 more source

Forecasting Stock Market Volatility Using Implied Volatility

2007 American Control Conference, 2007
We explored the firm-level forecasting power of implied volatility on realized volatility over various horizons. All existing literatures focused on examining forecasting power over the remaining life of options. We built a linear regression model using implied volatility series to forecast future volatility of various horizons.
Peng He, Stephen Shing-Toung Yau
openaire   +1 more source

Incorporating the RMB internationalization effect into its exchange rate volatility forecasting

, 2019
Recently, the Chinese government has launched the renminbi (RMB) internationalization policy as an impetus to foster China’s global economic integration.
Shusheng Ding, Tianxiang Cui, Yongmin Zhang   +2 more
semanticscholar   +1 more source

Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects

SSRN Electronic Journal, 2018
Abstract Predicting volatility is of primary importance for business applications in risk management, asset allocation, and the pricing of derivative instruments. This paper proposes a measurement model that considers the possibly time-varying interaction of realized volatility and asset returns according to a bivariate model to capture its major ...
Catania, L, Proietti, T
openaire   +3 more sources

Social media sentiment, model uncertainty, and volatility forecasting

, 2021
Steven F. Lehrer, Tian Xie, Xinyu Zhang
semanticscholar   +1 more source

A Stochastic Volatility Model, Volatility Smile and Forecasting Volatility

SSRN Electronic Journal, 2004
In this paper we propose a stochastic valuation model based on the Fourier transform for option price. This model can be used for the valuation of European options, characterized by two state variables: the price of the underlying asset and its volatility.
openaire   +1 more source

Neural Network–Based Financial Volatility Forecasting: A Systematic Review

ACM Computing Surveys, 2023
Wenbo Ge, Pooia Lalbakhsh, Hanna Suominen   +2 more
exaly  

Forecasting stock price volatility: New evidence from the GARCH-MIDAS model

International Journal of Forecasting, 2020
Lu Wang, Feng
exaly