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Forecasting volatility of stock indices with ARCH model

Alam, Md. Zahangir; Siddikee, Md. Noman; Masukujjaman, Md. - In: International journal of financial research 4 (2013) 2, pp. 126-143

Persistent link: https://www.econbiz.de/10010205105

Robust value-at-risk forecasting of Karachi Stock Exchange

Iqbal, Farhat - In: Afro-Asian Journal of Finance and Accounting : AAJFA 7 (2017) 2, pp. 130-146

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Qiao, Xiao; Wang, Yongning - In: Journal of risk 23 (2021) 5, pp. 25-54

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Random walk model and asymmetric effect in Korean composite stock price index

Aggarwal, Divya - In: Afro-Asian Journal of Finance and Accounting : AAJFA 8 (2018) 1, pp. 85-104

Persistent link: https://www.econbiz.de/10011933974

Capturing the stock market volatility : a study of sectoral indices in India using symmetric GARCH models

Khera, Aastha; Goyal, Anisha; Yadav, Miklesh Prasad - In: International journal of management practice : IJMP 15 (2022) 6, pp. 820-833

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A two-component realized exponential generalized autoregressive conditional heteroscedasticity model

Wu, Xinyu; Xia, Michelle; Zhang, Huanming - In: Journal of risk 24 (2022) 6, pp. 61-92

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Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall

Letmathe, Sebastian; Feng, Yuanhua; Uhde, André - In: Journal of risk 25 (2022) 2, pp. 75-105

Persistent link: https://www.econbiz.de/10014342468

Predicting volatility of bitcoin returns with ARCH, GARCH and EGARCH models

Yildirim, Hakan; Bekun, Festus Victor - In: Future Business Journal 9 (2023), pp. 1-8

market uncertainty and volatility of the investment instruments. Thus, the prediction of the uncertainty and volatilities of … to identify the best fit model that can predict the volatility of return of Bitcoin, which is in high demand as an … the residuals of the average equation model selected have ARCH effect. Volatility of Bitcoin return series after detection …

Persistent link: https://www.econbiz.de/10014382180

Forecasting the Sensex and Nifty indices using ARIMA and GARCH models

Tejesh H. R.; Jeelan Basha V. - In: Mudra : journal of finance and accounting 10 (2023) 1, pp. 57-75

Persistent link: https://www.econbiz.de/10014372845

Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations

Amado, Cristina; Teräsvirta, Timo - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 69-87

Persistent link: https://www.econbiz.de/10010380478