Search Results - subject:"ARCH effect"

A investigation into share prices' conditional heteroscedasticity and non-symmetrical model in the context of South Africa, Nigeria, and Egypt

Ejaz, Abdullah; Polak, Petr; Imran, Zulfiqar Ali - In: Management : journal of contemporary management issues 26 (2021) 1, pp. 189-200

Persistent link: https://www.econbiz.de/10012659646

COVID-19 pandemic : stock markets situation in European ex-communist countries

Żebrowska-Suchodolska, Dorota; Karpio, Andrzej; Kompa, … - In: European research studies journal : ERSJ 24 (2021) 3, pp. 1106-1128

Persistent link: https://www.econbiz.de/10012664743

Exchange rate volatility and trade deficit in Pakistan : a time series analysis

Soharwardi, Mariam Abbas; Ahmad, Mumtaz; Shafique, … - In: International journal of economics and financial issues … 10 (2020) 4, pp. 215-219

Persistent link: https://www.econbiz.de/10012304131

Application of short-term forecasting models for energy entity stock price (Study on Indika Energi Tbk, JII)

Azhar, Rialdi; Kesumah, Fajrin Satria Dwi; Ambya, Ambya; … - In: International Journal of Energy Economics and Policy : IJEEP 10 (2020) 1, pp. 294-301

Persistent link: https://www.econbiz.de/10012435914

Testing serial correlation and ARCH effect of high-dimensional time-series data

Ling, Shiqing; Tsay, Ruey S.; Yang, Yaxing - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 1, pp. 136-147

Persistent link: https://www.econbiz.de/10012424504

A good news or bad news has greater impact on the Vietnamese stock market?

Nguyen Van, Phuong - Volkswirtschaftliche Fakultät, … - 2015

The arrival of news plays an extremely important role in the stock market because it mainly drives the movement of the stock market. In this paper, therefore, we would like to investigate how the Vietnamese stock market responses to the arrival of news via applying the AR – EGARCH in Mean...

Persistent link: https://www.econbiz.de/10011118511

Modelling and forecasting long memory time series with exponential and switching GARCH models

Amiri, Esmail - In: International journal of monetary economics and finance 12 (2019) 5, pp. 407-425

Persistent link: https://www.econbiz.de/10012155069

Volatility in the mid-cap and small-cap equity market : a case study based on BSE mid-cap index and BSE small-cap index

Sikdar, Avijit - In: Research bulletin / The Institute of Cost Accountants … 44 (2018) 2, pp. 120-158

Persistent link: https://www.econbiz.de/10012130197

Impact of democratic/non-democratic regimes on foreign direct investment in Pakistan : pre and post September 11, 2001 scenarios

Nawaz, Tahir; Khan, Masood Amjad; Shah, Muhammad Akbar Ali - In: Pakistan journal of commerce and social sciences 6 (2012) 1, pp. 67-82

-correlation and ARCH effect and to model the conditional variance of FDI. It is found that foreign direct investment in Pakistan …

Persistent link: https://www.econbiz.de/10009733674

Impact of democratic/non-democratic regimes on foreign direct investment in Pakistan: Pre and post September 11, 2001 scenarios

Nawaz, Tahir; Khan, Masood Amjad; Shah, Muhammad Akbar Ali - In: Pakistan Journal of Commerce and Social Sciences (PJCSS) 6 (2012) 1, pp. 67-82

-correlation and ARCH effect and to model the conditional variance of FDI. It is found that foreign direct investment in Pakistan …

Persistent link: https://www.econbiz.de/10011938300