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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

Volatility and stock price indexes

Clements, Kenneth W.; Izan, H. Y.; Lan, Yihui - In: Applied economics 45 (2013) 22/24, pp. 3255-3262

Persistent link: https://www.econbiz.de/10010345452

Volatility of stock market indices : an analysis based on SEMIFAR models

Beran, Jan; Ocker, Dirk - 1999

By applying SEMIFAR models (Beran, 1999), we examine 'long memory' in the volatility of worldwide stock market indices …. Our analysis yields strong evidence of 'long memory' in stock market volatility, either in terms of stochastic long …

Persistent link: https://www.econbiz.de/10011543477

When the US stock market becomes extreme?

Aboura, Sofiane - In: Risks : open access journal 2 (2014) 2, pp. 211-225

Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of ready-made approaches to risk management analysis....

Persistent link: https://www.econbiz.de/10010399734

Macroeconomic variables, volatility and stock market returns : a case of Nairobi securities exchange, Kenya

Kirui, Evans; Wawire, Nelson H. Were; Onono, Perez O. - In: International journal of economics and finance 6 (2014) 8, pp. 214-228

Persistent link: https://www.econbiz.de/10010399764

Stock market spread trading : Argentina and Brazil stock indexes

Batten, Jonathan A.; Szilágyi, Péter G.; Wong, … - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 61-76

Persistent link: https://www.econbiz.de/10010465142

The impact of the U.S. macroeconomic variables on the CBOE VIX Index

Prasad, Akhilesh; Bakhshi, Priti; Seetharaman, Arumugam - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-25

The purpose of this study is to find the influence of various macroeconomic factors on the volatility index, as … macroeconomic factors affect stock market volatility, resulting in an impact on the VIX Index, representing the risk in the stock … market. To estimate the significance and importance of the U.S. macroeconomic variables on stock market volatility and risk …

Persistent link: https://www.econbiz.de/10013163867

Volatility spillover impact of FII and MF net equity flows on the Indian sectoral stock indices : recent evidence using BEKK-GARCH

Aggarwal, Vaibhav; Doifode, Adesh; Tiwary, Mrityunjay Kumar - In: International journal of Indian culture and business … 22 (2021) 3, pp. 350-363

Persistent link: https://www.econbiz.de/10012511230

Markov regime-switching autoregressive model of stock market returns in Nigeria

Adejumo, Oluwasegun A.; Albert, Seno; Asemota, Omorogbe J. - In: CBN journal of applied statistics 11 (2020) 2, pp. 65-83

studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …

Persistent link: https://www.econbiz.de/10012513279

Covid-19 and Islamic stock index : evidence of market behavior and volatility persistence

Saleem, Adil; Bárczi, Judit; Sági, Judit - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-22

economic aspects of the world. This study investigated the Islamic stock market's reaction and changes in volatility before and … nine different markets around the globe. To examine changes in volatility and persistence of risk, the generalized … hand, the volatility of Islamic stock indices was substantially amplified after the global health crisis was declared by …

Persistent link: https://www.econbiz.de/10012627110