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Selecting between autoregressive conditional heteroskedasticity models : an empirical application to the volatility of stock returns in Peru
Rodriguez, Gabriel - In: Revista de análisis económico 32 (2017) 1, pp. 69-94
Persistent link: https://www.econbiz.de/10011924649
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The sources of stock market volatility in Pakistan
Ihsan, Hajra; Ahmed, Eatzaz - In: Journal of world economic review 15 (2020) 1, pp. 15-34
Persistent link: https://www.econbiz.de/10012670422
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Determinism and non-linear behaviour of log-return and conditional volatility : empirical analysis for 26 stock markets
Dhifaoui, Zouhaier - In: South Asian journal of macroeconomics and public finance 11 (2022) 1, pp. 69-94
Persistent link: https://www.econbiz.de/10013256597
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Modeling stock market return volatility : GARCH evidence from Nifty Realty Index
Jain, Dhara; Mittal, Sachin K.; Choudhary, Vipin - In: Finance India : the quarterly journal of Indian … 36 (2022) 1, pp. 159-169
Persistent link: https://www.econbiz.de/10013349014
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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
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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
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Forecasting stock return volatility : realized volatility-type or duration-based estimators
Fei, Tianlun; Liu, Xiaoquan; Wen, Conghua - In: Journal of forecasting 42 (2023) 7, pp. 1594-1621
Persistent link: https://www.econbiz.de/10014432725
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An application of asymmetric GARCH models on volatility of banks equity in Nigeria’s stock market
Asemota, Omorogbe J.; Ekejiuba, Ucheoma C. - In: CBN journal of applied statistics 8 (2017) 1, pp. 73-99
This paper examines the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models …. Results reveal the presence of ARCH effect in B2 and B3 equity returns. In addition, the estimated models could not find … in Student’s t-distribution are adjudged the best volatility models for B2 and B3 respectively. The study recommends that …
Persistent link: https://www.econbiz.de/10011843494
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Volatility and calendar anomaly through GARCH model : evidence from the selected G20 stock exchanges
Mishra, Shraddha - In: International journal of business and globalisation : IJBG 19 (2017) 1, pp. 126-144
Persistent link: https://www.econbiz.de/10011847647
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Testing the long-memory features in return and volatility of NSE index
Ahamed, Naseem; Kalita, Mamoni; Tiwari, Aviral Kumar - In: Theoretical economics letters 5 (2015) 3, pp. 431-440
Persistent link: https://www.econbiz.de/10011396558