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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

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

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

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

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

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

Volatility Persistence and Predictability of Squared Returns in GARCH(1,1) Models

Triacca, Umberto - In: Central European Journal of Economic Modelling and … 1 (2009) 3, pp. 285-291

Volatility persistence is a stylized statistical property of financial time-series data such as exchange rates and stock returns. The purpose of this letter is to investigate the relationship between volatility persistence and predictability of squared returns.

Persistent link: https://www.econbiz.de/10008468132

Long Memory and Fractional Integration in High Frequency Financial Time Series

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010

This paper analyses the long-memory properties of high frequency financial time series. It focuses on temporal aggregation and the influence that this might have on the degree of dependence of the series. Fractional integration or I(d) models are estimated with a variety of specifications for...

Persistent link: https://www.econbiz.de/10008560389