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Forecasting the volatility of the dow jones islamic stock market index : long memory vs. regime switching

Nasr, Adnen Ben; Lux, Thomas; Ajmi, Ahdi Noomen; Gupta, … - 2014

properties of the Dow Jones Islamic Stock Market Index (DJIM) and explore its volatility dynamics using a number of up … traditional asset classes, and estimation results and forecasting performance for various volatility models are also in line with …

Persistent link: https://www.econbiz.de/10010348307

Forecasting the volatility of the Dow Jones Islamic Stock Market Index : long memory vs. regime switching

Nasr, Adnen Ben; Lux, Thomas; Ajmi, Ahdi Noomen; Gupta, … - 2014

prop- erties of the Dow Jones Islamic Stock Market Index (DJIM) and ex- plore its volatility dynamics using a number of up …

Persistent link: https://www.econbiz.de/10010406941

Forecasting the realized volatility of Energy Stock Market : a multimodel comparison

Li, Houjian; Zhou, Deheng; Hu, Jiayu; Li, Junwen; Su, … - In: The North American journal of economics and finance : a … 66 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014483435

Directional predictability and volatility spillover effect from stock market indexes to Bitcoin : evidence from developed and emerging markets

Omri, Imen - In: The journal of risk finance : JRF 24 (2023) 2, pp. 226-243

Persistent link: https://www.econbiz.de/10014232428

Volatility Modeling and Forecasting of the Egyptian : Stock Market Index using ARCH Models

Ebeid, Said T.; Bedeir Alkholi, Gamal B. A. - 2021

stock price index volatility using daily Egyptian data. The competing Models include GARCH, EGARCH, GJR and APAPCH used with …-tailed asymmetric densities are taken into account in the conditional volatility, is better than symmetric GARCH. Moreover, it is found …-t density is more appropriate for modeling the Egyptian stock market index volatility …

Persistent link: https://www.econbiz.de/10013229604

Testing of consistent trends in stock performance in the Nairobi securities exchange

Ndegwa, James N.; Kiweu, Josephat Mboya - In: DBA Africa management review 5 (2015) 2, pp. 212-221

Persistent link: https://www.econbiz.de/10012250738

Non-linearity, persistence and spillover effects in stock returns : the role of the volatility index

Wu, Po-Chin; Pan, Sheng-Chieh; Tai, Xue-Ling - In: Empirica : journal of european economics 42 (2015) 3, pp. 597-613

Persistent link: https://www.econbiz.de/10011485602

Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model

Jawadi, Fredj; Louhichi, Wael; Cheffou, Abdoulkarim Idi; … - In: Decision making and risk/return optimization in …, (pp. 275-295). 2019

Persistent link: https://www.econbiz.de/10012134816

Stock market volatility modeling and forecasting with a special reference to BSE sensex

Malepati, Venkataramanaiah; Challa, Madhavi Latha; … - In: Research in finance 35 (2019), pp. 105-118

Persistent link: https://www.econbiz.de/10012228119

A comparative study of static and iterative models of ARIMA and SVR to predict stock indices prices in developed and emerging economies

Beniwal, Mohit; Archana Singh; Kumar, Nand - In: International journal of applied management science : IJAMS 15 (2023) 4, pp. 352-371

Persistent link: https://www.econbiz.de/10014391724