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Forecasting JSE and AEX volatility with GARCH models

Cheteni, Priviledge; Matsongoni, Herrison; Umejesi, … - In: African journal of business and economic research : AJBER 18 (2023) 4, pp. 461-473

Persistent link: https://www.econbiz.de/10014574435

Forecasting volatility of Saudi stock market (TASI) and sectoral indices

Kumaran, Sunitha - In: Afro-Asian Journal of Finance and Accounting : AAJFA 13 (2023) 6, pp. 819-842

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Forecasting the volatility of the dow jones islamic stock market index : long memory vs. regime switching

Nasr, Adnen Ben; Lux, Thomas; Ajmi, Ahdi Noomen; Gupta, … - 2014

majority of time horizons and loss criteria. Long memory GARCH-type models always improve upon the short-memory GARCH …

Persistent link: https://www.econbiz.de/10010348307

Forecasting the volatility of the Dow Jones Islamic Stock Market Index : long memory vs. regime switching

Nasr, Adnen Ben; Lux, Thomas; Ajmi, Ahdi Noomen; Gupta, … - 2014

under the majority of time horizons and loss criteria. Long memory GARCH-type models always improve upon the short …-memory GARCH specification and additionally allowing for regime changes can further improve their performance. …

Persistent link: https://www.econbiz.de/10010406941

Forecasting the volatility of the Dow Jones Islamic Stock Market Index : long memory vs. regime switching

Nasr, Adnen Ben; Lux, Thomas; Ajmi, Ahdi Noomen; Gupta, … - In: International review of economics & finance : IREF 45 (2016), pp. 559-571

Persistent link: https://www.econbiz.de/10011626589

Modelling long memory dependence structure using FIGARCH-copula approach : evidence from major Asian stock markets

Gupta, Pankaj Kumar; Mittal, Prabhat - In: Global business & economics review 30 (2024) 1, pp. 56-71

Persistent link: https://www.econbiz.de/10014490993

Multivariate volatility forecasts for stock market indices

Wilms, Ines; Rombouts, Jeroen V. K.; Croux, Christophe - In: International journal of forecasting 37 (2021) 2, pp. 484-499

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Implied volatility index for the Norwegian equity market

Bugge, Sebastian A.; Guttormsen, Haakon J.; Molnár, Peter - In: International review of financial analysis 47 (2016), pp. 133-141

Persistent link: https://www.econbiz.de/10011624091

Forecasting stock market volatility using Realized GARCH model : international evidence

Sharma, Prateek; Vipul - In: The quarterly review of economics and finance : journal … 59 (2016), pp. 222-230

Persistent link: https://www.econbiz.de/10011627288

Forecasting the U.S. stock volatility : an aligned jump index from G7 stock markets

Ma, Feng; Wahab, M. I. M.; Zhang, Yaojie - In: Pacific-Basin finance journal 54 (2019), pp. 132-146

Persistent link: https://www.econbiz.de/10012133635

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