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An application of asymmetric GARCH models on volatility of banks equity in Nigeria's stock market
Asemota, Omorogbe J.; Ekejiuba, Ucheoma C. - In: CBN Journal of Applied Statistics 08 (2017) 1, pp. 73-99
This paper examines the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models …. Results reveal the presence of ARCH effect in B2 and B3 equity returns. In addition, the estimated models could not find … in Student's t-distribution are adjudged the best volatility models for B2 and B3 respectively. The study recommends that …
Persistent link: https://www.econbiz.de/10011961657
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Markov regime-switching autoregressive model of stock market returns in Nigeria
Adejumo, Oluwasegun A.; Albert, Seno; Asemota, Omorogbe J. - In: CBN Journal of Applied Statistics 11 (2020) 2, pp. 65-83
This study is designed to model and forecast Nigeria's stock market using the AllShare Index (ASI) as a proxy. By … studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …
Persistent link: https://www.econbiz.de/10012604575
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Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
Lux, Thomas; Kaizoji, Taisei - 2006
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …
Persistent link: https://www.econbiz.de/10010294979
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Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models
Lux, Thomas; Kaizoji, Taisei - 2004
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …
Persistent link: https://www.econbiz.de/10010295136
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Building news measures from textual data and an application to volatility forecasting
Caporin, Massimiliano; Poli, Francesco - In: Econometrics 5 (2017) 3, pp. 1-46
information measures on daily realized volatility and select them by penalized regression. Then, we perform a forecasting exercise …
Persistent link: https://www.econbiz.de/10011995242
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Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study
Conrad, Christian; Karanasos, Menelaos; Zeng, Ning - 2008
Tse (1998) proposes a model which combines the fractionally integrated GARCH formulation of Baillie, Bollerslev and Mikkelsen (1996) with the asymmetric power ARCH specification of Ding, Granger and Engle (1993). This paper analyzes the applicability of a multivariate constant conditional...
Persistent link: https://www.econbiz.de/10011422185
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Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models
Conrad, Christian; Mammen, Enno - 2008
We consider time series models in which the conditional mean of the response variable given the past depends on latent covariates. We assume that the covariates can be estimated consistently and use an iterative nonparametric kernel smoothing procedure for estimating the conditional mean...
Persistent link: https://www.econbiz.de/10011422182
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Foreign exchange news announcements and the volatility of stock returns in Nigeria
Omokehinde, Joshua Odutola; Abata, Matthew Adeolu; … - In: SPOUDAI - Journal of Economics and Business 67 (2017) 3, pp. 3-17
This paper examines the effect of foreign exchange news announcements on the volatility of stock returns in Nigeria … market volatility in Nigeria under symmetric conditional variance. However, there was strong evidence of asymmetric effect … volatility equations. The empirical results revealed a positive and significant effect of exchange news announcements on stock …
Persistent link: https://www.econbiz.de/10011994272
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Pricing Carbon Emissions in China
Chang, Chia-Lin; Mai, Te-Ke; McAleer, Michael - 2018
, there has been almost no research on China’s carbon price and volatility. This paper provides an introduction to China …
Persistent link: https://www.econbiz.de/10011819516
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Establishing National Carbon Emission Prices for China
Chang, Chia-Lin; Mai, Te-Ke; McAleer, Michael - 2018
The purpose of the paper is to establish national carbon emissions prices for the People’s Republic of China, which is one of the world’s largest producers of carbon emissions. Several measures have been undertaken to address climate change in China, including the establishment of a carbon...
Persistent link: https://www.econbiz.de/10011819543