Search Results - subject:"Garch"

Sequential change-point detection in time series models with conditional heteroscedasticity

Lee, Youngmi; Kim, Sungdon; Oh, Haejune - In: Economics letters 236 (2024), pp. 1-5

Persistent link: https://www.econbiz.de/10015071897

Oil volatility uncertainty : impact on fundamental macroeconomics and the stock index

Aladwani, Jassim - In: Economies : open access journal 12 (2024) 6, pp. 1-23

This study utilized both single-regime GARCH and double-regime GARCH models to investigate oil price volatility …

Persistent link: https://www.econbiz.de/10014636061

Volatility regimes of selected central European stock returns : a Markov switching GARCH approach

Chocholatá, Michaela - In: Journal of business economics and management 23 (2022) 4, pp. 876-894

traditional GARCH-type models (GARCH and GJR-GARCH) the two-regime Markov Switching GARCHtype models (MS-GARCH and MS-GJR-GARCH … persistence of individual markets which substantially differed across the both regimes. Furthermore, the GJR-GARCH and MS-GJR-GARCH … models clearly confirmed the presence of the leverage effect. Consideration of the MS-GARCH-type models enabled to capture …

Persistent link: https://www.econbiz.de/10013499116

Energy market uncertainties and US state-level stock market volatility : a GARCH-MIDAS approach

Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Gupta, Rangan - 2024

Persistent link: https://www.econbiz.de/10014505054

Volatility spillover : garch analysis of S&P 500's influence on precious metals

Duran, Edo; Grubisic, Zoran; Lazić, Milena - In: Journal of central banking theory and practice 13 (2024) 2, pp. 187-211

investigated. By using the TGARCH and DCC GARCH model, the evidence is found that there are spillovers between the S&P 500 and …

Persistent link: https://www.econbiz.de/10014581564

The hybrid forecast of S&P 500 volatility ensembled from VIX, GARCH and LSTM models

Roszyk, Natalia; Ślepaczuk, Robert - 2024

Persistent link: https://www.econbiz.de/10014634883

Volatility integration of crude oil, gold, and interest rates on the exchange rate : DCC GARCH and BEKK GARCH applications

Rastogi, Shailesh; Kanoujiya, Jagjeevan; Doifode, Adesh - In: Cogent business & management 11 (2024) 1, pp. 1-17

and return volatilities. Bivariate GARCH models (BEKK-GARCH and DCC-GARCH) are used in this research to ascertain the …

Persistent link: https://www.econbiz.de/10014543455

Inflation dynamics and persistence : the importance of the uncertainty channel

Canepa, Alessandra - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014534818

Volatility dynamics of base metal futures : empirical evidence from an emerging economy

Samal, Laxmidhar - In: Organizations and markets in emerging economies 15 (2024) 1/30, pp. 165-187

The paper examines the leverage effects and the spillover effects in the base metal cash and futures market. The study also attempts to find the trend and the pattern of volatility clustering in the base metal markets of India. Further, the significance of the risk premium and the possible...

Persistent link: https://www.econbiz.de/10014535532

2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns : Out-of-sample comparison of conditional EVT models

Tomlinson, Matthew F.; Greenwood, David; … - In: International journal of forecasting 40 (2024) 1, pp. 324-347

Persistent link: https://www.econbiz.de/10014450274

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