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Comparison of GARCH and ANN model for forecasting volatility : Evidence based on Indian stock markets
Shaik, Muneer; Sejpal, Aditya - In: The journal of prediction markets 14 (2020) 2, pp. 103-121
Persistent link: https://www.econbiz.de/10012667736
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Intraday volatility patterns in the Taiwan stock market and the impact on volatility forecasting
Wang, Yaw-huei; Wang, Yun-Yi - In: Asia-Pacific journal of financial studies 39 (2010) 1, pp. 70-89
Persistent link: https://www.econbiz.de/10009315274
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Stock market volatility: Identifying major drivers and the nature of their impact
Mittnik, Stefan; Robinzonov, Nikolay; Spindler, Martin - In: Journal of banking & finance 58 (2015), pp. 1-14
Persistent link: https://www.econbiz.de/10011543844
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Testing volatility in Nigeria stock market using GARCH models
Atoi, Ngozi V. - In: CBN journal of applied statistics 5 (2014) 2, pp. 65-93
forecasting volatility model with the most appropriate error distribution. The results suggest the presence of leverage effect … forecasting model that could guarantee a sound policy decisions. …
Persistent link: https://www.econbiz.de/10011489480
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Is there an ideal in-sample length for forecasting volatility?
Kambouroudis, Dimos S.; McMillan, David G. - In: Journal of international financial markets, … 37 (2015), pp. 114-137
Persistent link: https://www.econbiz.de/10011475043
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Intraday volatility interaction between the crude oil and equity markets
Dinh Hoang Bach Phan; Sharma, Susan Sunila; Narayan, … - In: Journal of international financial markets, … 40 (2016), pp. 1-13
Persistent link: https://www.econbiz.de/10011475821
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Forecasting global equity market volatilities
Zhang, Yaojie; Ma, Feng; Liao, Yin - In: International journal of forecasting 36 (2020) 4, pp. 1454-1475
Persistent link: https://www.econbiz.de/10012546804
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Modeling and forecasting Saudi stock market volatility using wavelet methods
Tariq S. Alshammari; Mohd Tahir Ismail; Sadam Al-Wadi; … - In: Journal of Asian finance, economics and business : JAFEB 7 (2020) 11, pp. 83-93
Persistent link: https://www.econbiz.de/10012671642
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Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? : new evidence
Wang, Jiqian; Huang, Yisu; Ma, Feng; Chevallier, Julien - In: Energy economics 91 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012518664
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Modeling and forecasting the volatility of NIFTY 50 using GARCH and RNN models
Mahajan, Vanshu; Thakan, Sunil; Malik, Aashish - In: Economies : open access journal 10 (2022) 5, pp. 1-20
, several scholars have lately been interested in forecasting stock market volatility. This study analyzed India VIX (NIFTY 50 … volatility index) to identify the behavior of the Indian stock market in terms of volatility and then evaluated the forecasting … such as EGARCH (1, 1) and TARCH (1, 1) showed slightly better forecasting accuracy than symmetric GARCH models like GARCH …
Persistent link: https://www.econbiz.de/10013199403