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Nigerian Stock Index : a search for optimal GARCH model using high frequency data

Yaya, OlaOluwa S. - In: CBN journal of applied statistics 4 (2013) 2, pp. 69-85

This paper attempts to fit the best Generalized Autoregressive Conditional Heteroscedastic (GARCH) model for All Share Index (ASI) of Nigerian Stock Exchange (NSE) returns. A search is made on various GARCH variants specified on the assumptions of stationarity and asymmetry. Fractionally...

Persistent link: https://www.econbiz.de/10011474661

A moving average heterogeneous autoregressive model for forecasting the realized volatility of the US stock market : evidence from over a century of data

Salisu, Afees A.; Gupta, Rangan; Ogbonna, Ahamuefula E. - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 384-400

Persistent link: https://www.econbiz.de/10012814585

Energy market uncertainties and US state-level stock market volatility : a GARCH-MIDAS approach

Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Gupta, Rangan - 2024

Persistent link: https://www.econbiz.de/10014505054

Energy-related uncertainty and international stock market volatility

Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Gupta, Rangan - In: The quarterly review of economics and finance 95 (2024), pp. 280-293

Persistent link: https://www.econbiz.de/10014631538

Tail risks and forecastability of stock returns of advanced economies : evidence from centuries of data

Salisu, Afees A.; Gupta, Rangan; Ogbonna, Ahamuefula Ephraim - In: The European journal of finance 29 (2023) 4, pp. 466-481

Persistent link: https://www.econbiz.de/10014322538

Energy-related uncertainty and international stock market volatility

Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Gupta, Rangan - 2023

Persistent link: https://www.econbiz.de/10014443108

Uncertainty and predictability of real housing returns in the United Kingdom : a regional analysis

Salisu, Afees A.; Gupta, Rangan; Ogbonna, Ahamuefula E.; … - In: Journal of forecasting 41 (2022) 7, pp. 1525-1556

Persistent link: https://www.econbiz.de/10013465713

Climate risks and prediction of sectoral REITs volatility : international evidence

Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Bouri, Elie - 2024

Persistent link: https://www.econbiz.de/10014635867

Geopolitical risks and oil returns volatility : a GARCH-MIDAS approach

Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Gupta, Rangan - 2024

Persistent link: https://www.econbiz.de/10014576026

Energy market uncertainties and gold return volatility : a GARCH-MIDAS approach

Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Gupta, Rangan - 2024

Persistent link: https://www.econbiz.de/10014576041

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