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Measuring volatility persistence and risk in Southern and East African stock markets

Coffie, William - In: International Journal of Economics and Business Research 9 (2015) 1, pp. 23-36

of volatility decay. Generalised autoregressive conditional heteroscedaticity (GARCH) and GARCH-in-mean (GARCH-M) models …

Persistent link: https://www.econbiz.de/10011207784

Overlaying Time Scales in Financial Volatility Data

Hillebrand, Eric - EconWPA - 2005

financial time series and use it to improve the short-term forecasts from GARCH models. We study different generalizations of … GARCH that allow for several time scales. On our holding sample, none of the considered models can fully exploit the …

Persistent link: https://www.econbiz.de/10005062571

Conditional Volatility of Equity Real Estate Investment Trust Returns: A Pre- and Post-1993 Comparison

Jirasakuldech, Benjamas; Campbell, Robert; Emekter, Riza - In: The Journal of Real Estate Finance and Economics 38 (2009) 2, pp. 137-154

We examine the dynamic behavior of Equity Real Estate Investment Trust (EREIT) volatility in a GARCH context 1972 …

Persistent link: https://www.econbiz.de/10005680573

Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models

Hillebrand, Eric - EconWPA - 2003

. After showing that the expectation of the sum of the estimates of the autoregressive coefficients of a GARCH(1,1) model is …

Persistent link: https://www.econbiz.de/10005119104

The Impact of Firm-Specific Public News on Intraday Market Dynamics: Evidence from the Turkish Stock Market

Baklaci, Hasan F.; Tunc, Gokce; Aydogan, Berna; Vardar, … - In: Emerging Markets Finance and Trade 47 (2011) 6, pp. 99-119

Turkish stock market. The GARCH framework is utilized to investigate the impact of firm-specific public news announcements on …

Persistent link: https://www.econbiz.de/10010612800

Volatility Persistence in Crude Oil Markets

Charles, Amélie; Darné, Olivier - HAL - 2012

Financial market participants and policy-makers can benefit from a better understanding of how shocks can affect volatility over time. This study assesses the impact of structural changes and outliers on volatility persistence of three crude oil markets - Brent, West Texas Intermediate (WTI) and...

Persistent link: https://www.econbiz.de/10010558719

Information Arrival and Volatility: Evidence from the Saudi Arabia Stock Exchange (Tadawul)

Ezzat, Hassan; Kirkulak, Berna - Volkswirtschaftliche Fakultät, … - 2014

This paper investigates the validation of the Mixture of Distributions Hypothesis (MDH) using trading volume and number … TGARCH. The findings provide strong evidence for the validity of the MDH for the Saudi market. Volatility persistence …, interacting with volatility in a manner anticipated under the MDH. This can be attributed to unique characteristic of the Saudi …

Persistent link: https://www.econbiz.de/10011115493

E-exchange and the Boundary between Households and Organizations

Lindbeck, Assar; Wikström, Solveig - CESifo - 2002

The new information and communication technology, ICT, induces households to take over tasks from firms and government agencies, using tools and systems provided by these very same organizations. The result is often joint production activities. We argue that the importance of ICT for the...

Persistent link: https://www.econbiz.de/10005181571

Cross-Sectional Aggregation and Persistence in Conditional Variance

Karanasos, Menelaos; Psaradakis, Zacharias; Sola, Martin - Department of Economics and Related Studies, University …

derive the ARMA-GARCH representation that linear aggregates of ARMA processes with GARCH errors admit, and establish …

Persistent link: https://www.econbiz.de/10005523999

Volatility Persistence in Commodity Futures:Inventory and Time-to-Delivery Effects

Karali, Berna; Thurman, Walter N. - Department of Agricultural and Consumer Economics, … - 2008

Most financial asset returns exhibit volatility persistence. We investigate this phenomenon in the context of daily returns in commodity futures markets. We show that the time gap between the arrival of news to the markets and the delivery time of futures contracts is the fundamental variable in...

Persistent link: https://www.econbiz.de/10005525099