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Modelling and forecasting volatility of the Botswana and Namibia stock market returns : evidence using GARCH models with different distribution densities
Coffie, William - In: Global business & economics review 20 (2018) 1, pp. 18-35
Persistent link: https://www.econbiz.de/10011953628
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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 … asymmetric volatility models each in Normal, Student's-t and generalized error distributions with the view to selecting the best …
Persistent link: https://www.econbiz.de/10011489480
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New evidence on sources of leverage effects in individual stocks
Smith, Geoffrey Peter - In: The financial review : the official publication of the … 50 (2015) 3, pp. 331-340
Persistent link: https://www.econbiz.de/10011338155
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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
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The performance of dividend ETFs : the study of the spillover and leverage effects
Chen, Jo-hui; Dang Trung Kien - In: Theoretical economics letters 9 (2019) 3, pp. 499-510
Persistent link: https://www.econbiz.de/10012395468
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Modeling and forecasting volatility of stock market using family of GARCH models : evidence from CPEC linked countries
Fraz, Tayyab Raza; Fatima, Samreen - In: Global economy journal : GEJ 22 (2022) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10013556985
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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
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Modelling stock market volatility using asymmetric GARCH models : evidence from BRICS stock markets
Siddiqui, Ayesha; Shamim, Mohd - In: Global business & economics review 30 (2024) 1, pp. 107-127
Persistent link: https://www.econbiz.de/10014491085
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Stock returns, trading volumes and market volatility : a study on the Indian stock market
Naik, Pramod Kumar; Sethy, Tapas Kumar - In: The Indian economic journal 70 (2022) 3, pp. 406-416
Persistent link: https://www.econbiz.de/10013387728
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Volatility regimes of selected central European stock returns : a Markov switching GARCH approach
Chocholatá, Michaela - In: Journal of business economics and management 23 (2022) 4, pp. 876-894
the strong leverage effect indicating completely different specification of volatility regimes by the MS-GJR-GARCH model. … the behaviour of returns and their volatility during both the calm as well as various crises/turmoil periods. Besides the … traditional GARCH-type models (GARCH and GJR-GARCH) the two-regime Markov Switching GARCHtype models (MS-GARCH and MS-GJR-GARCH …
Persistent link: https://www.econbiz.de/10013499116