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Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using GARCH Models

Frimpong, Joseph Magnus; Oteng-Abayie, Eric Fosu - Volkswirtschaftliche Fakultät, … - 2006

This paper models and forecasts volatility (conditional variance) on the Ghana Stock Exchange using a random walk (RW … the dynamics of the Ghana stock market volatility over a 10-year period. The competing volatility models were estimated … nonlinearity diagnostic checks. The DSI exhibits the stylized characteristics such as volatility clustering, leptokurtosis and …

Persistent link: https://www.econbiz.de/10005623234

The Effects of the Real Exchange Rate Volatility and Misalignments on Foreign Trade Flows in Uzbekistan

Olimov, Ulugbek; Sirajiddinov, Nishanbay - Volkswirtschaftliche Fakultät, … - 2008

period of 1994q3–2005q2. The results suggest thatthe real exchange rate volatility and misalignment have depressing effects … volatility proving that the policy-induced changes in exchange rate has a stabilizing effect on trade flows. The implied … elasticity for the most significant real exchange rate volatility coefficient is -0.20. Using a two-step Engle-Granger technique …

Persistent link: https://www.econbiz.de/10005623237

Origins of scaling in FX markets

Mercik, Szymon; Weron, Rafal - Volkswirtschaftliche Fakultät, … - 2002

Typical data sets employed by economists and financial analysts do not exceed a few hundred or thousand observations per series. However, in the last decade data sets containing tick-by-tick observations have become available. The studies of these data have turned up new and interesting facts...

Persistent link: https://www.econbiz.de/10005623359

Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times

Laakkonen, Helinä; Lanne, Markku - Volkswirtschaftliche Fakultät, … - 2008

the business cycle on the highfrequency volatility of the EUR/USD exchange rate. The results suggest that in general bad … news increases volatility more than good news. The news effects also depend on the state of the economy: bad news increases … volatility more in good times than in bad times, while there is no difference between the volatility effects of good news in bad …

Persistent link: https://www.econbiz.de/10005623524

Return relationships among European equity sectors: A comparative analysis across selected sectors in small and large economies.

Taing, Siv; Worthington, Andrew - In: Journal of Applied Economics VIII (2005) November, pp. 371-388

This paper examines return interrelationships between numbers of equity sectors across several European markets. The markets comprise six Member States of the European Union (EU): namely, Belgium, Finland, France, Germany, Ireland and Italy. The five sectors include the consumer discretionary,...

Persistent link: https://www.econbiz.de/10005627083

Experiments on the Application of IOHMMs to Model Financial Returns Series

Bengio, Yoshua; Ducharme, Réjean; Lauzon, Vincent-Philippe - Centre Interuniversitaire de Recherche en Analyse des … - 2002

Input/Output Hidden Markov Models (IOHMMs) are conditional hidden Markov models in which the emission (and possibly the transition) probabilities can be conditioned on an input sequence. For example, these conditional distributions can be linear, logistic, or non-linear (using for example...

Persistent link: https://www.econbiz.de/10005627166

Reexamining the maturity effect using extensive futures data

Daal, Elton; Farhat, Joseph Basheer; Wei, Peihwang P. - Department of Economics and Finance, College of … - 2003

In his seminal article, Samuelson (1965) proposes the maturity effect that volatility of futures prices should increase …

Persistent link: https://www.econbiz.de/10005628170

Impact of Analysts' Recommendations on Stock Performance

Panchenko, Valentyn - In: The European Journal of Finance 13 (2007) 2, pp. 165-179

This paper examines the effect of analysts' recommendations on stock return, volume and volatility. The study covers a …

Persistent link: https://www.econbiz.de/10005632820

The impact of the euro on financial markets

Cappiello, Lorenzo; Hördahl, Peter; Kadareja, Arjan; … - European Central Bank - 2006

We assess whether the euro had an impact first on the degree of integration of European financial markets, and, second, on the euro area term structure. We propose two methodologies to measure integration: one relies on time-varying GARCH correlations, and the other one on a regression...

Persistent link: https://www.econbiz.de/10005222395

Evaluating the performance of GARCH models using White´s Reality Check

Souza, Leonardo; Veiga, Alvaro; Medeiros, Marcelo C. - Departamento de Economia, Pontifícia Universidade … - 2002

Persistent link: https://www.econbiz.de/10005222461