Similar Search Results

The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange

Kenourgios, Dimitris; Samitas, Aristeidis; … - EconWPA - 2005

return and volatility equations. When using the GARCH (1,1) specification only for the return equation and the Modified-GARCH …

Persistent link: https://www.econbiz.de/10005413108

Volatility Transmission of Overnight Rate along the Yield Curve in Pakistan

Mahmood, Asif - Volkswirtschaftliche Fakultät, … - 2014

This paper presented the empirical results of the volatility transmission of overnight rate along the yield curve in case of Pakistan. The results indicate that the volatility transmission of overnight repo rate is higher at the shorter end of the yield curve while lower at the longer end. These...

Persistent link: https://www.econbiz.de/10011107405

Asymmetric Volatility Dynamics: Evidence From the Istanbul Stock Exchange

Okay, Nesrin - Volkswirtschaftliche Fakultät, … - 1998

by ARCH models. The volatility is measured by a linear GARCH and an EGARCH process. Our results suggests that EGARCH … provides better estimates than a linear standard GARCH model. The EGARCH also can capture most of the asymmetry, supporting the …

Persistent link: https://www.econbiz.de/10011108476

Volatility modelling of foreign exchange rate: discrete GARCH family versus continuous GARCH

Ari, Yakup - Volkswirtschaftliche Fakultät, … - 2012

Non-linearity is the general characteristic of financial series. Thus, common non-linear models such as GARCH, EGARCH … and TGARCH are used to obtain the volatility of data. in addition , continuous time GARCH (COGARCH) model that is the … extansion and analogue of the discrete time GARCH process, is the new approach for volatility and derivative pricing. COGARCH …

Persistent link: https://www.econbiz.de/10011110949

The Application of GARCH and EGARCH in Modeling the Volatility of Daily Stock Returns During Massive Shocks: The Empirical Case of Egypt

Ezzat, Hassan - Volkswirtschaftliche Fakultät, … - 2012

political turmoil of 2011. The analysis is based on employing both GARCH and EGARCH models. Daily closing prices of four …

Persistent link: https://www.econbiz.de/10011111235

Analýza volatility devizových kurzů vybraných ekonomik

Bednarik, Radek - Volkswirtschaftliche Fakultät, … - 2008

This paper is focused on the historical development of selected exchange rates' volatility, that is: AUD, CAD, DEM, DKK, EUR, FRF, GBP, JPY, SEK and CHF against USD. The paper aims to show that relatively large increment of exchange markets' volatility is nothing special in the historical...

Persistent link: https://www.econbiz.de/10005014733

Does Volatility in Government Borrowing Leads to Higher Inflation? Evidence from Pakistan

Haider, Adnan; Khan, Safdar Ullah - Volkswirtschaftliche Fakultät, … - 2007

Pakistan. This paper utilizes Generalized Auto Regressive Conditional Hetroskedasticity (GARCH) model to estimate volatility in …

Persistent link: https://www.econbiz.de/10005105921

Forecasting Volatility of Turkish Markets: A Comparison of Thin and Thick Models

Kilic, Ekrem - EconWPA - 2005

Volatility of financial markets is an important topic for academics, policy makers and market participants. In this study first I summarized several specifications for the conditional variance and also define some methods for combination of these specifications. Then assuming that the squared...

Persistent link: https://www.econbiz.de/10005556286

Sector-Specific Volatility Patterns in Investment

Kredler, Matthias - EconWPA - 2005

different industrial sectors. A competitive partial-equilibrium model with quadratic adjustment costs in investment and a GARCH … model, the GARCH property is inherited by the aggregate investment process in the rational-expectations equilibrium. The … conjectured, GARCH effects play an important role in some sectors but are not significant in others. Astonishingly, the volatility …

Persistent link: https://www.econbiz.de/10005561184

Modelling and forecasting the volatility of the portuguese stock index PSI-20

Caiado, Jorge - Volkswirtschaftliche Fakultät, … - 2004

Portuguese Stock Index PSI-20. By using simple GARCH, GARCH-M, Exponential GARCH (EGARCH) and Threshold ARCH (TARCH) models, we …

Persistent link: https://www.econbiz.de/10005790340