Similar Search Results

Revisiting the auto-regressive integrated moving average approach to modelling volatility using Bahrain all share index daily returns

Doblas, Mark P.; Natarajan, Vinodh Kesavaraj; Sankar, … - In: Middle East journal of management : MEJM 10 (2023) 6, pp. 619-636

Persistent link: https://www.econbiz.de/10014424552

Can international market indices estimate tasi's movements? : the ARIMA model

Assous, Hamzeh F.; Al-Rousan, Nadia; Al-Najjar, Dania; … - In: Journal of open innovation : technology, market, and … 6 (2020) 2/27, pp. 1-17

This study investigates the effectiveness of six of the key international indices in estimating Saudi financial market (TADAWUL) index (TASI) movement. To investigate the relationship between TASI and other variables, six equations were built using two independent variables of time and...

Persistent link: https://www.econbiz.de/10012231615

Testing for long memory in the Indian stock market

Tripathy, Nalini Prava - In: The journal of prediction markets 9 (2015) 3, pp. 23-39

Persistent link: https://www.econbiz.de/10011547160

Forecasting risk using auto regressive integrated moving average approach : an evidence from S&P BSE Sensex

Challa, Madhavi Latha; Malepati, Venkataramanaiah; … - In: Financial innovation : FIN 4 (2018) 24, pp. 1-17

The primary objective of the paper is to forecast the beta values of companies listed on Sensex, Bombay Stock Exchange (BSE). The BSE Sensex constitutes 30 top most companies listed which are popularly known as blue-chip companies. To reach out the predefined objectives of the research, Auto...

Persistent link: https://www.econbiz.de/10011921968

Are frontier stock markets more inefficient than emerging stock markets?

Dheeriya, Prakash L.; Torun, Erdost - In: International journal of monetary economics and finance 6 (2013) 4, pp. 271-284

Persistent link: https://www.econbiz.de/10010412983

Predicting stock return and volatility with machine learning and econometric models : a comparative case study of the Baltic stock market

Nõu, Anders; Lapitskaya, Darya; Eratalay, M. Hakan; … - In: International journal of computational economics and … 13 (2023) 4, pp. 446-489

Persistent link: https://www.econbiz.de/10014439728

Short patches of outliers, ARCH and volatility modeling

Franses, Philip Hans; Dijk, Dick van; Lucas, André - 1998

In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...

Persistent link: https://www.econbiz.de/10011284080