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Forecasting the volatility of Nikkei 225 futures
Asai, Manabu; McAleer, Michael - 2017 - Revised: January 2017
For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers the stochastic volatility model with asymmetry and...
Persistent link: https://www.econbiz.de/10011590424
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Volatility models
BAUWENS, Luc; HAFNER, Christian; LAURENT, Sébastien - Center for Operations Research and Econometrics (CORE), … - 2011
Chapter written for the Handbook of Volatility Models and their Applications, edited by Luc Bauwens, Christian Hafner, and Sébastien Laurent, forthcoming in 2012 (John Wiley & sons). This chapter presents an introductory review of volatility models and some applications. The review is linked...
Persistent link: https://www.econbiz.de/10010927710
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Volatility and co-movements of the equity markets in Central Europe: Evidence from Poland and Hungary
Chmielewska, Anna - In: Economic and Environmental Studies (E&ES) 18 (2018) 2, pp. 499-513
positive signal for future system stability, it also evidences that the widely used GARCH and DCC specifications turn to be …
Persistent link: https://www.econbiz.de/10011984362
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Impact of foreign and domestic investment in stock market volatility: empirical evidence from India
Chhimwal, Bhaskar; Bapat, Varadraj - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-14
Volatility is one of the most important factors of investment decisions. Unexpected information forces the investor to trade abnormally in the market which in turn affects the volatility of the market. But this kind of trading behavior has a different impact on the different market segments....
Persistent link: https://www.econbiz.de/10012657598
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Volatility and co-movements of the equity markets in Central Europe : evidence from Poland and Hungary
Chmielewska, Anna - In: Economic and environmental studies : a journal for … 18 (2018) 2, pp. 499-513
positive signal for future system stability, it also evidences that the widely used GARCH and DCC specifications turn to be …
Persistent link: https://www.econbiz.de/10011874650
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Volatility regimes of selected central European stock returns : a Markov switching GARCH approach
Chocholatá, Michaela - In: Journal of business economics and management 23 (2022) 4, pp. 876-894
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
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Modelling Stock Return Volatility Dynamics in Selected African Markets
King, Daniel; Botha, Ferdi - Economic Research Southern Africa (ERSA) - 2014
single-state (G)ARCH models, within and across selected African markets for the period 2002-2012. In the univariate portion … portfolios. Accounting for structural breaks in the conditional variance process, conventional GARCH effects remain important in … capturing heteroscedasticity. However, those univariate models including a GARCH term perform comparatively poorly when used for …
Persistent link: https://www.econbiz.de/10010734905
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Impact of foreign and domestic investment in stock market volatility: empirical evidence from India
Chhimwal, Bhaskar; Bapat, Varadraj - In: Cogent economics & finance 8 (2020) 1, pp. 1-14
Volatility is one of the most important factors of investment decisions. Unexpected information forces the investor to trade abnormally in the market which in turn affects the volatility of the market. But this kind of trading behavior has a different impact on the different market segments....
Persistent link: https://www.econbiz.de/10012214705
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Range-based volatility estimation and forecasting
Benčík, Daniel - 2014
forecasts are produced by a realized range based HAR model with a GARCH volatility-of-volatility component. …
Persistent link: https://www.econbiz.de/10011340612
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The Fundamental Equation in Tourism Finance
McAleer, Michael - 2015
The purpose of the paper is to present the fundamental equation in tourism finance that connects tourism research to empirical finance and financial econometrics. The energy industry, which includes, oil, gas and bio-energy fuels, together with the tourism industry, are two of the most important...
Persistent link: https://www.econbiz.de/10011403586