Search Results - subject:"GARCH"

Comparative analysis of the volatility structures of the stock prices of energy companies traded on the Kazakhstan stock exchange and international gold and oil prices

Sultanova, Zamzagul; Pazilov, Galimzhan A.; … - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 1, pp. 21-30

Persistent link: https://www.econbiz.de/10014481247

Modeling and forecasting closing prices of some coal mining companies in Indonesia by using the VAR(3)-BEKK GARCH (1,1) model

Wamiliana; Russel, Edwin; Alam, Iskandar Ali; Widiarti; … - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 1, pp. 579-591

Persistent link: https://www.econbiz.de/10014494811

Financial technology and ESG market : a wavelet-DCC GARCH approach

Babak Naysary; Shrestha, Keshab - In: Research in international business and finance 71 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10015062813

Not all VIXs are (Informationally) equal : evidence from affine GARCH option pricing models

Escobar, Marcos; Stentoft, Lars; Ye, Xize - In: Finance research letters 69 (2024) 1, pp. 1-7

Persistent link: https://www.econbiz.de/10015079727

Markovian analysis of U.S. Treasury volatility : asymmetric responses to macroeconomic announcements

Gigante, Gimede; Guarniero, Pieralberto; Pasini, Simona - In: Economics letters 239 (2024), pp. 1-6

Persistent link: https://www.econbiz.de/10015076688

Economic sanctions and barley price regime change in Iran

In: Bio-based and applied economics 13 (2024) 2, pp. 161-170

In Iran, barley is considered the second-largest cultivated crop. However, more than 40% of Iran's requirements are imported from the international market. Due to the importance of barley in providing livestock feed and food security, its price variation is a critical issue for Iranian...

Persistent link: https://www.econbiz.de/10015047656

Empirical testing of models of autoregressive conditional heteroscedasticity used for prediction of the volatility of Bulgarian investment funds

Petrova, Mariana; Todorov, Teodor - In: Risks : open access journal 11 (2023) 11, pp. 1-30

investment decisions. The used risk attribution quantification models GARCH (1.1), EGARCH (1.1), GARCH-M (1.1) and TGARCH (1 … concentration of investment funds (in Bulgaria) through the testing of complex, analytical and specialized models from the GARCH … models GARCH, EGARCH, GARCH-M and TGARCH with specification (1.1). The research covers the net balance sheet value of forty …

Persistent link: https://www.econbiz.de/10014436423

Modeling dynamic correlation and volatility of the Visegrad Group fuel markets

Krawiec, Monika; Borkowski, Bolesław; Shachmurove, Yochanan - In: Contemporary economics 17 (2023) 4, pp. 424-442

interrelationships between Visegrad fuel markets. Additionally, the paper uses multivariate dynamic conditional GARCH (DCC GARCH …

Persistent link: https://www.econbiz.de/10014446868

Ensembling ARIMAX model in algorithmic investment strategies on commodities market

Jakubowski, Paweł; Ślepaczuk, Robert; Windorbski, … - 2023

Persistent link: https://www.econbiz.de/10014448210

COVID-19 pandemic & financial market volatility : evidence from GARCH models

Khan, Maaz; Kayani, Umar Nawaz; Khan, Mrestyal; Mughal, … - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-20

-19 pandemic. We applied the GARCH (1, 1), GJR-GARCH (1, 1), and EGARCH (1, 1) econometric models on the daily time series … and for the whole period, each GARCH family evenly models the volatile behavior of the six financial markets. This study …

Persistent link: https://www.econbiz.de/10014289566