Similar Search Results

Regime-switching angular correlation diversification

Lee, Hsiang-Tai - In: Finance research letters 50 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10014234140

A Comparative GARCH Analysis of Macroeconomic Variables and Returns on Modelling the Kurtosis of FTSE 100 Implied Volatility Index

Alsheikhmubarak, Abdulilah; Giouvris, Evangelos - 2023

Modelling the volatility (or kurtosis) of the implied volatility is an important aspect of financial markets when … GARCH systems to model the volatility of the FTSE 100 Implied Volatility Index (IV). We use GARCH, EGARCH, GJR-GARCH and … other asymmetric models unless there is exceptionally high volatility such as the crisis of 2008 in which case EGARCH …

Persistent link: https://www.econbiz.de/10014254483

Modeling stock market return volatility : GARCH evidence from Nifty Realty Index

Jain, Dhara; Mittal, Sachin K.; Choudhary, Vipin - In: Finance India : the quarterly journal of Indian … 36 (2022) 1, pp. 159-169

Persistent link: https://www.econbiz.de/10013349014

Modelling and forecasting volatility with high-frequency and VIX information : a component realized EGARCH model with VIX

Wu, Xinyu; Xia, Michelle; Li, Xindan - In: Applied economics 55 (2023) 20, pp. 2273-2291

Persistent link: https://www.econbiz.de/10014294916

The fluctuation correlation between investor sentiment and stock index using VMD-LSTM : evidence from China stock market

Gao, Zhenbin; Zhang, Jie - In: The North American journal of economics and finance : a … 66 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014483735

Forecasting volatility of Saudi stock market (TASI) and sectoral indices

Kumaran, Sunitha - In: Afro-Asian Journal of Finance and Accounting : AAJFA 13 (2023) 6, pp. 819-842

Persistent link: https://www.econbiz.de/10014434354

Does US infectious disease equity market volatility index predict G7 stock returns? : evidence beyond symmetry

Gohar, Raheel; Salman, Asma; Uche, Emmanuel; Derindag, … - In: Annals of financial economics 18 (2023) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10014442587

Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Gupta, Rangan - 2023

Persistent link: https://www.econbiz.de/10014443108

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