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How do parliamentary elections affect stock market volatility? : example from the Republic of Macedonia
Trajkovska, Aleksandra - In: Journal of contemporary economic and business issues 5 (2018) 2, pp. 53-62
heteroscedasticity GARCH (1, 1) model. Also, to control if political uncertainty before the elections influences the return of MBI 10, a …
Persistent link: https://www.econbiz.de/10011936866
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Forecasting stock market volatility and the informational efficiency of the DAX-index options market
Claessen, Holger; Mittnik, Stefan - 2002
, such as GARCH models, are investigated, to determine if they are more appropriate for predicting future return volatility …
Persistent link: https://www.econbiz.de/10009767118
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Political news and stock market reactions : evidence from Turkey over the period 2008-2017
Karime, Sleiman; Sayilir, Özlem - In: International journal of management and economics 55 (2019) 2, pp. 83-98
nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …
Persistent link: https://www.econbiz.de/10012131511
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An analysis of dependency of stock markets after unlimited QE announcements during COVID-19 pandemic
Ornanong Puarattanaarunkorn; Kittawit Autchariyapanitkul; … - In: Asian journal of economics and banking : AJEB 7 (2023) 3, pp. 310-332
/methodology/approach - The copula-based GARCH (1,1) and minimum spanning tree models are used in this study to analyze 14 series of stock market … pandemic. Moreover, the study fills the literature gap by combining the copula-based GARCH and the minimum spanning tree models …
Persistent link: https://www.econbiz.de/10014445508
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Back to the future betas : empirical asset pricing of US and Southeast Asian markets
French, Jordan - In: International Journal of Financial Studies : open … 4 (2016) 3, pp. 1-13
(GARCH) models, of differing lag and parameter terms, to forecast the variance of the market used in the denominator of the … squared forecast error (MSE) were used to compare the forecasting ability of the ex-ante GARCH models, Artificial Neural …
Persistent link: https://www.econbiz.de/10011526799
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Day-of-the-week effect in the Nigerian stock market returns and volatility : does the distributional assumptions influence disappearance?
Osarumwense, Osabuohien-Irabor - In: European financial and accounting journal : EFAJ 10 (2015) 4, pp. 33-44
error distribution were incorporated in the GARCH (2,1) and EGARCH (2,1) models. Result reveals that day-of-the-week effects …
Persistent link: https://www.econbiz.de/10011471089
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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
validate this result. The last twenty eight days out-of-sample forecast adjudged Power-GARCH (1, 1, 1) in student's t error …
Persistent link: https://www.econbiz.de/10011489480
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STAR-GARCH Models for Stock Market Interactions in the Pacific Basin Region, Japan and US
Busetti, Giorgio; Manera, Matteo - 2003
, Hong Kong and Taiwan), Japan and US. The originality of the paper is the use of STAR-GARCH models, instead of standard … correlation-cointegration techniques. For each country in the Pacific Basin region, we find statistically adequate STAR-GARCH …
Persistent link: https://www.econbiz.de/10011325074
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Assessing the Impact of Equity Derivatives Introduction in National Stock Exchange (NSE), India
Prabhu, Dinakar - 2020
This article investigates the impact of introduction of equity derivatives in NSE, India, on price and liquidity characteristics of the underlying. First, the effect on price is examined following an event study methodology provided by Brown and Warner (1985), where the significance of the...
Persistent link: https://www.econbiz.de/10012828781
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Volatility Spillovers between Major International Financial Markets During the COVID-19 Pandemic
Wang, Dong - 2020
This paper studies the dynamic change of volatility spillovers between several major international financial markets during the global COVID-19 pandemic using Diebold and Yilmaz's connectedness index. We found that the total volatility spillover in this March reached its highest level of recent...
Persistent link: https://www.econbiz.de/10012828891