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The effect of index option trading on stock market volatility in China : an empirical investigation

Wu, Kai; Liu, Yi; Feng, Weiyang - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-19

, including principal component analysis, GARCH-family model, and LASSO regression. The results of this paper suggest that the …

Persistent link: https://www.econbiz.de/10013168752

Univariate and multivariate GARCH models applied to Bitcoin futures option pricing

Venter, Pierre J.; Maré, E. - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14

futures option pricing methodology based on a multivatiate GARCH model is developed. The empirical results show that a …

Persistent link: https://www.econbiz.de/10012588206

Asymmetry and leverage with news impact curve perspective in Australian stock returns' volatility during COVID-19

Iqbal, Najam; Manzoor, Muhammad Saqib; Bhatti, Muhammad … - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-15

generalised autoregressive conditional heteroskedasticity (GARCH) model and extend the analysis using the exponential GARCH … than the GARCH model in estimating the volatility of the Australian stock returns. However, another interesting finding is …

Persistent link: https://www.econbiz.de/10012622818

Bitcoin return volatility forecasting : a comparative study between GARCH and RNN

Shen, Ze; Wan, Qing; Leatham, David J. - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-18

forecasting accuracy and risk management efficiency. The results demonstrate that the RNN outperforms GARCH and EWMA in average …

Persistent link: https://www.econbiz.de/10012626254

Impact of COVID-19, political, and financial events on the performance of commercial banking sector

Ghouse, Ghulam; Bhatti, Muhammad Ishaq; Shahid, … - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-18

the GARCH model, which explains the current financial and political distress for the case of shocks from COVID-19. We …

Persistent link: https://www.econbiz.de/10013273109

Modelling returns in US housing prices : you're the one for me, fat tails

Kiss, Tamás; Nguyen, Hoang; Österholm, Pär - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-17

investigated the sources of heavy tails by estimating autoregressive models in which innovations can be subject to GARCH effects … both within- and out-of-sample. We found strong evidence in favour of modelling both GARCH effects and non …

Persistent link: https://www.econbiz.de/10012794370

Return based risk measures for non-normally distributed returns : an alternative modelling approach

Samunderu, Eyden; Murahwa, Yvonne T. - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-48

Developments in the world of finance have led the authors to assess the adequacy of using the normal distribution assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence, this paper attempts to analyse statistical...

Persistent link: https://www.econbiz.de/10012795821

Volatility in international stock markets : an empirical study during COVID-19

Chaudhary, Rashmi; Bakhshi, Priti; Gupta, Hemendra - In: Journal of risk and financial management : JRFM 13 (2020) 9/208, pp. 1-17

countries based on GDP using a widely applied econometric model-generalized autoregressive conditional heteroscedasticity (GARCH … variance regressor in GARCH modeling, is found to be positive and significant for all market indices. Furthermore, the results …

Persistent link: https://www.econbiz.de/10012384430

Neural network predictive modeling on dynamic portfolio management : a simulation-based portfolio optimization approach

Yu, Jiayang; Chang, Kuo-Chu - In: Journal of risk and financial management : JRFM 13 (2020) 11/285, pp. 1-23

-based Predictive Model (EFPM). Then, we combine it with the Copula-GARCH simulation model and the Mean-Conditional Value at Risk (Mean …

Persistent link: https://www.econbiz.de/10012388728

Cryptocurrency returns before and after the introduction of Bitcoin futures

Deniz, Pinar; Stengos, Thanasēs - In: Journal of risk and financial management : JRFM 13 (2020) 6/116, pp. 1-21

important in the pre period, while search intensity still stands out in the post period. Furthermore, GARCH analyses suggest …

Persistent link: https://www.econbiz.de/10012305140