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The correct regularity condition and interpretation of asymmetry in EGARCH
Chang, Chia-Lin; McAleer, Michael - 2017
In the class of univariate conditional volatility models, the three most popular are the generalized autoregressive … mathematical regularity properties, including invertibility, to determine the likelihood function for estimation, and the … effects on conditional volatility of positive and negative effects of equal magnitude, and possibly also leverage, which is …
Persistent link: https://www.econbiz.de/10011688332
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Conditional Heteroskedasticity in Long Memory Model 'FIMACH' for Return Volatilities in BRICS Equity Markets
Mollah, Sabur - 2015
This paper introduces a new class of long memory model for volatility of stock returns, and applies the model on … return series for BRICS countries. In its estimation, the FIMACH model outperforms the FIGARCH and ARFIMA models …
Persistent link: https://www.econbiz.de/10013017294
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Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks
Voges, Michelle; Leschinski, Christian; Sibbertsen, Philipp - 2017 - This version: June 28, 2017
It is well known that intraday volatilities and trading volumes exhibit strong seasonal features. These seasonalities are usually modeled using dummy variables or deterministic functions. Here, we propose a test for seasonal long memory with a known frequency. Using this test, we show that...
Persistent link: https://www.econbiz.de/10011673153
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The weekly structure of US stock prices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and...
Persistent link: https://www.econbiz.de/10008732289
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The weekly structure of US stock prices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and...
Persistent link: https://www.econbiz.de/10009272623
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The Weekly Structure of US Stock Prices
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2021
In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and...
Persistent link: https://www.econbiz.de/10013316133
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The Weekly Structure of US Stock Prices
Caporale, Guglielmo Maria - 2010
In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and...
Persistent link: https://www.econbiz.de/10013135946
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The factor-spline-GARCH model for high and low frequency correlations
Rangel, Jose Gonzalo; Engle, Robert F. - 2009
frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …
Persistent link: https://www.econbiz.de/10003821063
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Stock-Bond Return Dynamic Correlation and Macroeconomic Announcements : Time-Scale Analysis and the Effects of Financial Crises
Al Rababa'a, Abdel Razzaq - 2018
model specifications, volatility effects and other robustness considerations continue to support our results. These results …
Persistent link: https://www.econbiz.de/10012919223
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Stock Market Volatility and Equity Returns : Evidence from a Two-State Markov-Switching Model with Regressors
Xinyi, Liu - 2015
volatility. Our findings indicate that a negative relation between equity market returns and volatility prevails even after … having controlled for the time-varying determinants of conditional volatility within each regime. We also find an asymmetry … in the effect of price range on intra- and inter-regime return volatility. While price range has a stronger effect in the …
Persistent link: https://www.econbiz.de/10013034502