Results 21 to 30 of about 2,168 (228)
Stochastic and Dynamic Interaction between Islamic Volatility Index and Volatility Indices [PDF]
Türkiye İslam İktisadı DergisiIntegration in financial markets offers opportunities for free flow of information and capital for international investments. However, this also poses challenges for maintaining effective international portfolio diversification due to heightened market ...
Halilibrahim Gökgöz +2 more
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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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MARKETWIDE LIQUIDITY AND OPTIONS MARKET
Applied Finance Letters, 2022 In this paper, we study the relationship between marketwide liquidity and options market. Using the Chicago Board Options Exchange (CBOE) Volatility Index, VIX as a measure of overall value of the S&P 500 (SPX) options, and the CBOE SKEW Index as a ...
Jin Zhang, Hai Lin
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Capital Market Volatility During Crises: Oil Price Insights, VIX Index, and Gold Price Analysis
Management şi Marketing, 2023 The study aims to investigate capital market volatility during crises, exploring the relationships between three key financial indicators: oil prices, the VIX index, and gold prices, using monthly data covering the period from January 2013 to May 2023 ...
Hapau Razvan Gabriel
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Contagion and Interdependencies: A Dynamic Connectedness approach among Implied Volatilities
Cogent Economics & Finance, 2022 This study employs the TVP-VAR approach to capture the degree of interdependencies and contagion among sixteen implied volatilities. The 16 daily implied volatility indices comprise the implied volatility from various financial assets, such as ...
Gilbert K. Amoako +4 more
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Volatility Interaction Between VIX (Fear Index) and Fragile Five Countries [PDF]
, 2023 Bu çalışmada kırılgan beşli ülkeler ile VIX endeksi arasında asimetrik getiri ve volatilite yayılımı araştırılmıştır. Kırılgan ülkelerin kırılganlıkları makroekonomik faktörler nedeniyle oluşmaktadır ve bu örtük volatiliteye neden olmaktadır.
Kutlu, Melih, Tüekoğlu, Diler
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Forecasting the direction of daily changes in the India VIX index using deep learning
IIMB Management Review, 2023 The VIX index is an indicator of the market's perception of risk, and an accurate forecast of the movements in VIX can be very useful for investment risk management.
Akhilesh Prasad +2 more
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Uncertainty of Volatility Estimates from Heston Greeks
Frontiers in Applied Mathematics and Statistics, 2018 Volatility is a widely recognized measure of market risk. As volatility is not observed it has to be estimated from market prices, i.e., as the implied volatility from option prices. The volatility index VIX making volatility a tradeable asset in its own
Oliver Pfante, Nils Bertschinger
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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
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Mathematics, 2023 Prediction of the economy in global markets is of crucial importance for individuals, decisionmakers, and policies. To this end, effectiveness in modeling and forecasting the directions of such leading indicators is of crucial importance.
Melike Bildirici +2 more
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