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Early News is Good News: The Effects of Market Opening on Market Volatility
Gallo, Giampiero M.; Pacini, Barbara - In: Studies in Nonlinear Dynamics & Econometrics 2 (1998) 4
effects of modifying the direct impact of daily innovations on volatility and reducing the estimated overall persistence of …In this paper, we examine the characteristics of market opening news and its impact on the estimated coefficients of … the conditional volatility models of the GARCH class. We find that the differences between the opening price of one day …
Persistent link: https://www.econbiz.de/10014620805
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Early News is Good News: The Effects of Market Opening on Market Volatility
Gallo, Giampiero; Pacini, Barbara - In: Studies in Nonlinear Dynamics & Econometrics 2 (2007) 4, pp. 1034-1034
effects of modifying the direct impact of daily innovations on volatility and reducing the estimated overall persistence of …In this paper, we examine the characteristics of market opening news and its impact on the estimated coefficients of … the conditional volatility models of the GARCH class. We find that the differences between the opening price of one day …
Persistent link: https://www.econbiz.de/10004966158
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Public information arrival and volatility persistence in financial markets
Janssen, Gust - In: The European Journal of Finance 10 (2004) 3, pp. 177-197
news category and by financial market. It is demonstrated that most of the volatility persistence, as observed by GARCH …This paper explores the relationship between daily market volatility and the arrival of public information in four … different financial markets. Public information is measured as the daily number of economic news headlines, divided in six …
Persistent link: https://www.econbiz.de/10005471979
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Economic policy uncertainty in US and Europe : time-varying Granger causality
Mladenovic, Zorica - In: Applied economics letters 30 (2023) 20, pp. 2913-2920
Persistent link: https://www.econbiz.de/10014414040
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An application of a random level shifts model to the volatility of Peruvian stock and exchange rate returns
Ojeda Cunya, Junior Alex; Rodriguez, Gabriel - In: Macroeconomics and finance in emerging market economies 9 (2016) 1/3, pp. 34-55
Persistent link: https://www.econbiz.de/10011583531
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Modelling and forecasting volatility for BSE and NSE stock index : linear vs. nonlinear approach
Shanthi, A.; Thamilselvan, R. - In: Afro-Asian Journal of Finance and Accounting : AAJFA 9 (2019) 4, pp. 363-380
Persistent link: https://www.econbiz.de/10012153148
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Modelling price volatility in energy futures during Covid-19
Khatun, Yashmin; Digal, Sabat Kumar; Mahadik, Dushyant - In: International journal of trade and global markets 19 (2024) 1, pp. 85-109
Persistent link: https://www.econbiz.de/10015062749
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Evaluating the forecasting performance of GARCH models using White´s Reality Check
Souza, Leonardo; Veiga, Alvaro; Medeiros, Marcelo C. - 2002
Persistent link: https://www.econbiz.de/10011807281
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Forecasting commodity market returns volatility : a hybrid ensemble learning GARCH-LSTM based approach
Kakade, Kshitij; Mishra, Aswini Kumar; Ghate, Kshitish; … - In: Intelligent systems in accounting, finance & management 29 (2022) 2, pp. 103-117
Persistent link: https://www.econbiz.de/10013274256
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Modeling and forecasting the volatility of NIFTY 50 using GARCH and RNN models
Mahajan, Vanshu; Thakan, Sunil; Malik, Aashish - In: Economies : open access journal 10 (2022) 5, pp. 1-20
, several scholars have lately been interested in forecasting stock market volatility. This study analyzed India VIX (NIFTY 50 … volatility index) to identify the behavior of the Indian stock market in terms of volatility and then evaluated the forecasting … become essential to manage risk in the Indian stock market, and volatility plays a critical part in assessing the risks of …
Persistent link: https://www.econbiz.de/10013199403