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The Chinese oil futures volatility : evidence from high-low estimator information
Huang, Xiaozhou; Wang, Yubao; Song, Juan - In: Finance research letters 56 (2023), pp. 1-4
Persistent link: https://www.econbiz.de/10014473684
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Parametrization of Correlations in Multi-Stochastic Volatility/Local-Stochastic Volatility Models
Bergomi, Lorenzo - 2020
When designing multi-asset stochastic volatility (SV) or local-stochastic volatility (LSV) models, one of the main …
Persistent link: https://www.econbiz.de/10012838420
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Estimating and Using GARCH Models with VIX Data for Option Valuation
Kanniainen, Juho - 2016
spot volatilities from the series of VIX rather than by linking spot volatility with different dates by using the series of …
Persistent link: https://www.econbiz.de/10013007850
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Parameter instability, stochastic volatility and estimation based on simulated likelihood : evidence from the crude oil market
Nonejad, Nima - In: Economic modelling 61 (2017), pp. 388-408
Persistent link: https://www.econbiz.de/10011736901
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On Univariate and Multivariate GARCH Models : Oil Price and Stock Market Returns Volatilities
Guerouah, Amine - 2016
This paper investigates the empirical properties of oil price and Stock market return volatilities using a range of univariate and multivariate GARCH models and monthly data from the U.S. The study relates the period August 1987 to October 2016, a total of 351 observations given. The aim of this...
Persistent link: https://www.econbiz.de/10012977192
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Accurate estimated model of volatility crude oil price
Gunarto, Toto; Azhar, Rialdi; Tresiana, Novita; Supriyanto - In: International Journal of Energy Economics and Policy : IJEEP 10 (2020) 5, pp. 228-233
Persistent link: https://www.econbiz.de/10012505999
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A discussion on the robustness of conditional heteroskedasticity models : simulation evidence and applications of the crude oil returns
Shi, Yanlin - In: Finance research letters 44 (2022), pp. 1-8
Persistent link: https://www.econbiz.de/10014494772
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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
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Empirical model for forecasting exchange rate dynamics : the GO-GARCH approach
Isenah, Godknows M.; Olubusoye, Olusanya E. - In: CBN journal of applied statistics 7 (2016) 1, pp. 179-208
The study aimed at determining a set of superior generalized orthogonal-GARCH (GO-GARCH) models for forecasting time-varying conditional correlations and variances of five foreign exchange rates vis-à-vis the Nigerian Naira. Daily data covering the period 02/01/2009 to 19/03/2015 was used, and...
Persistent link: https://www.econbiz.de/10011534717
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Range-based volatility estimation and forecasting
Benčík, Daniel - 2014
prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … forecasts are produced by a realized range based HAR model with a GARCH volatility-of-volatility component. …
Persistent link: https://www.econbiz.de/10010461231