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of ARCH effect has been tried to predict with conditional variance models such as ARCH (1), ARCH (2), ARCH (3), GARCH (1 …,1), GARCH (1,2), GARCH (1,3), GARCH (2,1), GARCH (2,2), EGARCH (1,1) and EGARCH (1,2). While the obtained findings indicate that … the best model is in the direction of GARCH (1,1) according to Akaike info criterion, it was found that GARCH (1,1) model …
Persistent link: https://www.econbiz.de/10014382180
Volatility (SV) and Generalised Autoregressive Conditional Heteroskedasticity (GARCH) models which are both extended to include … outperforms the GARCH model. …
Persistent link: https://www.econbiz.de/10010324972
This paper attempts to fit the best Generalized Autoregressive Conditional Heteroscedastic (GARCH) model for All Share … Index (ASI) of Nigerian Stock Exchange (NSE) returns. A search is made on various GARCH variants specified on the … and non-normality of GARCH innovations, with models and forecasts evaluated using information criteria and loss functions …
Persistent link: https://www.econbiz.de/10011474661
Volatility (SV) and Generalised Autoregressive Conditional Heteroskedasticity (GARCH) models which are both extended to include … outperforms the GARCH model. …
Persistent link: https://www.econbiz.de/10011326944
traditional GARCH-type models (GARCH and GJR-GARCH) the two-regime Markov Switching GARCHtype models (MS-GARCH and MS-GJR-GARCH … persistence of individual markets which substantially differed across the both regimes. Furthermore, the GJR-GARCH and MS-GJR-GARCH … models clearly confirmed the presence of the leverage effect. Consideration of the MS-GARCH-type models enabled to capture …
Persistent link: https://www.econbiz.de/10013499116
the best fitting model among SGARCH, EGARCH and GJR-GARCH. In a bid to account for the dynamic and persistent nature of …
Persistent link: https://www.econbiz.de/10014501248
autoregressive conditional heteroskedasticity (GARCH)–class models in terms of their in-sample and out-of-sample forecasting accuracy … 2015. The results suggest that the Asymmetric Power of ARCH (APARCH) model is the most accurate model in the GARCH class …
Persistent link: https://www.econbiz.de/10011960525
September 2012. This captures the impact of the Global Financial Crisis (GFC). The GARCH analysis features an exploration of … US. We also apply a Markov Switching GARCH model to explore the existence of regime changes during this period and we … also apply a tri-variate Cholesky-GARCH model to include potential effects from the Chinese market, as represented by the …
Persistent link: https://www.econbiz.de/10010326245
ARFIMAX models are applied in estimating the intra-day realized volatility of the CAC40 and DAX30 indices. Volatility clustering and asymmetry characterize the logarithmic realized volatility of both indices. ARFIMAX model with time-varying conditional heteroscedasticity is the best performing...
Persistent link: https://www.econbiz.de/10012910127
While there is a large body of literature on oil uncertainty-equity prices and/or returns nexus, an associated important question of how oil market uncertainty affects stock market bubbles remains unanswered. In this paper, we first use the Multi-Scale Log-Periodic Power Law Singularity...
Persistent link: https://www.econbiz.de/10015210403