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Triple regime stochastic volatility model with threshold and leverage effects
Han, Heejoon; Lee, Eunhee - In: The Korean economic review 36 (2020) 2, pp. 481-509
Persistent link: https://www.econbiz.de/10013273019
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The Impact of Investor Sentiment on the "Leverage Effect"
Son-Turan, Semen - In: International Econometric Review (IER) 8 (2016) 1, pp. 4-18
investor sentiment proxies. This study examines whether the leverage (bad news) effect, as measured by the EGARCH (1,1) model …
Persistent link: https://www.econbiz.de/10012610960
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Testing volatility in Nigeria stock market using GARCH models
Atoi, Ngozi V. - In: CBN Journal of Applied Statistics 05 (2014) 2, pp. 65-93
The contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and studies have shown that the application of appropriate error distribution in volatility model enhances efficiency of the model. Using Nigeria All Share Index from January 2, 2008 to...
Persistent link: https://www.econbiz.de/10011518789
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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
The contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and studies have shown that the application of appropriate error distribution in volatility model enhances efficiency of the model. Using Nigeria All Share Index from January 2, 2008 to...
Persistent link: https://www.econbiz.de/10011489480
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The performance of dividend ETFs : the study of the spillover and leverage effects
Chen, Jo-hui; Dang Trung Kien - In: Theoretical economics letters 9 (2019) 3, pp. 499-510
Persistent link: https://www.econbiz.de/10012395468
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Dynamic forecasting : efficacy of rolling symmetric and asymmetric GARCH models
Talwar, Shalini - In: South Asian journal of management : SAJM 23 (2016) 3, pp. 102-142
Persistent link: https://www.econbiz.de/10011643885
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Banking crisis and cyclic shocks : a perspective on volatility clustering
Sun, Mingyuan - In: The international journal of business and finance … 12 (2018) 2, pp. 49-61
Persistent link: https://www.econbiz.de/10011926722
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Exponential GARCH Modeling with Realized Measures of Volatility
Hansen, Peter Reinhard; Huang, Zhuo - School of Economics and Management, University of Aarhus - 2012
We introduce the Realized Exponential GARCH model that can utilize multiple realized volatility measures for the modeling of a return series. The model specifies the dynamic properties of both returns and realized measures, and is characterized by a flexible modeling of the dependence between...
Persistent link: https://www.econbiz.de/10010851191
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Exponential GARCH Modeling with Realized Measures of Volatility
Hansen, Peter Reinhard; Huang, Zhuo - Department of Economics, European University Institute - 2012
We introduce the Realized Exponential GARCH model that can utilize multiple realized volatility measures for the modeling of a return series. The model specifies the dynamic properties of both returns and realized measures, and is characterized by a flexible modeling of the dependence between...
Persistent link: https://www.econbiz.de/10010610576
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An Attempt to Capture Leptokurtic of Returns and to Model Its Volatility: The Case of Beirut Stock Exchange
BOURI, Elie - In: Review of Economic and Business Studies (2011) 8, pp. 259-271
(EGARCH) model of Nelson (1991), under three distribution assumptions: the Gaussian, the t-Student and the General Errors … fat tails and volatility clustering being persistent. Furthermore, the asymmetric EGARCH-GED model is found to adequately …
Persistent link: https://www.econbiz.de/10010739312