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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
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Analysis of asymmetry in the price-volume relation: evidence from Pakistani stock market
Mubarik, Fauzia; Javid, Attiya Yasmin - Volkswirtschaftliche Fakultät, … - 2009
volume causing return. The relationship between trading volume and return volatility is analyzed by applying EGARCH model …
Persistent link: https://www.econbiz.de/10011108885
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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 …
Persistent link: https://www.econbiz.de/10011110949
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Long Memory Processes and Structural Breaks in Stock Returns and Volatility: Evidence from the Egyptian Exchange
Ezzat, Hassan - Volkswirtschaftliche Fakultät, … - 2013
identified break periods for each index. Finally, an EGARCH model is estimated for the full sample and each break period … present in the EGX 100 because of the presence of periods exhibiting strong anti-persistence. The EGARCH parameters for the …
Persistent link: https://www.econbiz.de/10011111213
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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 … revolution which was shaped by extreme volatile fluctuations in stock returns. The EGARCH model was the method of choice for …
Persistent link: https://www.econbiz.de/10011111235
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An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation
Francq, Christian; Sucarrat, Genaro - Volkswirtschaftliche Fakultät, … - 2013
Estimation of log-GARCH models via the ARMA representation is attractive because it enables a vast amount of already established results in the ARMA literature. We propose an exponential Chi-squared QMLE for log-GARCH models via the ARMA representation. The advantage of the estimator is that it...
Persistent link: https://www.econbiz.de/10011112442
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The Application of GARCH Methods in Modeling Volatility Using Sector Indices from the Egyptian Exchange
Ezzat, Hassan - Volkswirtschaftliche Fakultät, … - 2012
into twelve different sectors. Volatility is modeled using GARCH, EGARCH and TGARCH in order to examine the temporal …
Persistent link: https://www.econbiz.de/10011113906
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The asymmetric impact of macroeconomic announcements on U.S. Government bond rate level and volatility
Tuysuz, Sukriye - Volkswirtschaftliche Fakultät, … - 2007
these results to evaluate interest rate mean and volatility response to U.S. macroeconomic and monetary news with an EGARCH …
Persistent link: https://www.econbiz.de/10005622142
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Central Bank transparency and the U.S. interest rates level and volatility response to U.S. news
TUYSUZ, Sukriye - Volkswirtschaftliche Fakultät, … - 2007
This paper investigates the impact of U.S. macroeconomic and monetary news on market interest rate level and volatility. These news relate to Federal Reserve System (FED) target variables and unexpected policy rate changes. It examines whether the fact that FED announces its policy rate...
Persistent link: https://www.econbiz.de/10005626854
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Volatility Spillover Between the Stock Market and the Foreign Exchange Market in Pakistan
Qayyum, Abdul; Kemal, A. R. - Volkswirtschaftliche Fakultät, … - 2006
EGARCH method. The estimated results from cointegration analysis show that there is no long run relationship between the two …
Persistent link: https://www.econbiz.de/10005626858