Similar Search Results

Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations

Amado, Cristina; Teräsvirta, Timo - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 69-87

Persistent link: https://www.econbiz.de/10010380478

Modeling persistence and long memory under the impact of regime shifts in the PIGS stock market

Kumar, Dilip; Maheswaran, S. - In: Decision 40 (2013) 1/2, pp. 117-134

Persistent link: https://www.econbiz.de/10010381136

Time variation in cash flows and discount rates

Cenesizoglu, Tolga; Ibrushi, Denada - In: Journal of financial econometrics 21 (2023) 5, pp. 1557-1589

Persistent link: https://www.econbiz.de/10014444702

Revisiting the auto-regressive integrated moving average approach to modelling volatility using Bahrain all share index daily returns

Doblas, Mark P.; Natarajan, Vinodh Kesavaraj; Sankar, … - In: Middle East journal of management : MEJM 10 (2023) 6, pp. 619-636

Persistent link: https://www.econbiz.de/10014424552

Predicting volatility of bitcoin returns with ARCH, GARCH and EGARCH models

Yildirim, Hakan; Bekun, Festus Victor - In: Future Business Journal 9 (2023), pp. 1-8

market uncertainty and volatility of the investment instruments. Thus, the prediction of the uncertainty and volatilities of … to identify the best fit model that can predict the volatility of return of Bitcoin, which is in high demand as an … the residuals of the average equation model selected have ARCH effect. Volatility of Bitcoin return series after detection …

Persistent link: https://www.econbiz.de/10014382180

Incorporating overnight and intraday returns into multivariate GARCH volatility models

Dhaene, Geert; Wu, Jianbin - In: Journal of econometrics 217 (2020) 2, pp. 471-495

Persistent link: https://www.econbiz.de/10012482817

Stock returns, quantile autocorrelation, and volatility forecasting

Zhao, Yixiu; Upreti, Vineet; Cai, Yuzhi - In: International review of financial analysis 73 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012803612

Predicting extreme daily regime shifts in financial time series exchange/Johannesburg stock exchange : all share index

Makatjane, Katleho; Moroke, Ntebogang Dinah - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-18

During the past decades, seasonal autoregressive integrated moving average (SARIMA) had become one of a prevalent linear models in time series and forecasting. Empirical research advocated that forecasting with non-linear models can be an encouraging alternative to traditional linear models....

Persistent link: https://www.econbiz.de/10012508859

Modelling and forecasting unbiased extreme value volatility estimator : A study based on exchange rates with economic significance analysis

Kumar, Dilip - In: The journal of prediction markets 13 (2019) 1, pp. 3-28

Persistent link: https://www.econbiz.de/10012607570

An empirical evaluation in GARCH volatility modeling : evidence from the Stockholm stock exchange

Dritsaki, Chaido - In: Journal of mathematical finance 7 (2017) 2, pp. 366-390

Persistent link: https://www.econbiz.de/10011673942