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 … returns series are significantly, influenced current volatility. Based on in-sample statistical performance, both the ARCH and …

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 …

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 …

political turmoil of 2011. The analysis is based on employing both GARCH and EGARCH models. Daily closing prices of four …Modeling volatility during a financial crisis where massive shocks are generated presents an ideal environment for … investigating the dynamics of volatility during periods of extreme fluctuations for comparison with volatility during more tranquil …

processes with up to two lags and variance with one of GARCH, EGARCH or TARCH processes with up to two lags. The models are … separately. The primary result of the paper is that the volatility is best modelled using a GARCH process and that an ARMA … more volatile. The main aim of the paper is to test whether a model estimated on data with lower volatility can be used in …

to March 2011. The study has used unit root test, autocorrelation test, runs test, GARCH (symmetric) EGARCH and TARCH …

se explota la flexibilidad de los modelos ARCH para capturar los agrupamientos de la volatilidad de la Tasa … Representativa del Mercado TRM colombiana. Los resultados indican que el modelo MA (1) en media y el modelo GARCH (1, 1) en varianza …

negativos. Al comparar los valores de máxima verosimilitud en los modelos, se observó que los modelos asimétricos EGARCH (1,1) y … TGARCH (1,1) capturaron mejor los impactos en los rendimientos que el modelo simétrico GARCH (1,1). …

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 …