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Testing volatility in Nigeria stock market using GARCH models

Atoi, Ngozi V. - In: CBN journal of applied statistics 5 (2014) 2, pp. 65-93

The contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and studies have shown that the application of appropriate error distribution in volatility model enhances efficiency of the model. Using Nigeria All Share Index from January 2, 2008 to...

Persistent link: https://www.econbiz.de/10011489480

Threshold models in time series analysis : some reflections

Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491

Persistent link: https://www.econbiz.de/10011504634

Stock Index Returns' Density Prediction Using GARCH Models : Frequentist or Bayesian Estimation?

Hoogerheide, Lennart F. - 2017

provided between frequentist and Bayesian estimation. No significant difference is found between the qualities of the forecasts …

Persistent link: https://www.econbiz.de/10012976219

Determinism and non-linear behaviour of log-return and conditional volatility : empirical analysis for 26 stock markets

Dhifaoui, Zouhaier - In: South Asian journal of macroeconomics and public finance 11 (2022) 1, pp. 69-94

Persistent link: https://www.econbiz.de/10013256597

Application of GARCH model to forecast data and volatility of share price of energy (Study on Adaro Energy Tbk, LQ45)

Virginia, Erica; Ginting, Josep; Elfaki, Faiz A. M. - In: International Journal of Energy Economics and Policy : IJEEP 8 (2018) 3, pp. 131-140

Persistent link: https://www.econbiz.de/10011881316

Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction

Kim, Donggyu; Fan, Jianqing - In: Journal of econometrics 208 (2019) 2, pp. 395-417

Persistent link: https://www.econbiz.de/10012145042

Empirical safety stock estimation based on kernel and GARCH models

Trapero, Juan R.; Cardós, Manuel; Kourentzes, Nikolaos - In: Omega : the international journal of management science 84 (2018), pp. 199-211

Persistent link: https://www.econbiz.de/10011993170

Stock Prices Trend Analysis : Comparative Neural Networks, Linear Models and Conditional Heteroscedasticity Models

Dabirian, Manoochehr; Shams, Shahabeddin - 2013

Persistent link: https://www.econbiz.de/10014159095

Conditional and unconditional intraday value-at-risk models : an application to high-frequency tick-by-tick exchange-traded fund data

Nunkoo, Houmera Bibi Sabera; Sookia, Noor Ul Hacq; … - In: Journal of risk : JOR 26 (2023) 2, pp. 1-31

Persistent link: https://www.econbiz.de/10014487297

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