In this paper we compare the performance of different GARCH models such as GARCH, EGARCH,GJR and APARCH models, to … fat-tail distributions for the innovations improve the volatility forecasts. Overall, EGARCH fits the best while the GJR … characterize and forecast financial time series volatility in Pakistan. The comparison is carried out by comparing symmetric and …

performs GARCH and EGARCH methodologies to and finds significant implications for local and international investors for …This study examines the return and volatility behaviour of Borsa Istanbul Real Estate Investment Trusts (REITs) Index … exist and the volatility pattern across days of the week and months of the year are statistically different. The return …

general indices by using the daily data. GARCH, EGARCH, PARCH, and TARCH models are used as benchmark models for the study …The main motive of this study is to investigate the use of ARCH model for forecasting volatility of the DSE20 and DSE …-sample and out-of-sample set sets respectively. The study finds the past volatility of both the DSE20 and DSE general indices …

ARMA(1,1)-GARCH(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility. Moreover, 1998 is a turning … this paper is to analyze these two indexes in order to capture ENSO volatility. The empirical results show that both the … point for the volatility of SOI, and the ENSO volatility has became stronger since 1998 which indicates that the ENSO …

applies the GARCH family of models to examine financial volatility as a function of institutional volatility. The results from …The volatility of financial markets has been a relevant topic for transition economies, as the countries of Central and … Eastern Europe and the former Soviet Union have seemingly endured high levels of volatility in their financial sectors during …

Portuguese Stock Index PSI-20. By using simple GARCH, GARCH-M, Exponential GARCH (EGARCH) and Threshold ARCH (TARCH) models, we …The volatility clustering often seen in financial data has increased the interest of researchers in applying good … models to measure and forecast stock returns. This paper aims to model the volatility for daily and weekly returns of the …

both the ARMA(1,1)-GARCH(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility. Moreover, 1998 is a … purpose of this paper is to analyze these two indexes in order to capture ENSO volatility. The empirical results show that … turning point for the volatility of SOI, and the ENSO volatility has became stronger since 1998 which indicates that the ENSO …

fat tails and volatility clustering being persistent. Furthermore, the asymmetric EGARCH-GED model is found to adequately … the intense volatility of returns. After examining the normality of daily returns in Beirut Stock Exchange (BSE) from June … Heteroskedasticity (GARCH) model of Bollerslev (1986) with the Exponential Generalized Autoregressive Conditional Heteroskedasticity …

In this paper we compare the performance of different GARCH models such as GARCH, EGARCH,GJR and APARCH models, to … fat-tail distributions for the innovations improve the volatility forecasts. Overall, EGARCH fits the best while the GJR … characterize and forecast financial time series volatility in Pakistan. The comparison is carried out by comparing symmetric and …

results show that both the ARMA(1,1)-GARCH(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility … purpose of this paper is to analyze these two indexes in order to capture the volatility inherent in ENSO. The empirical …