The role of public sentiment in stock market volatility has recently become increasingly relevant. Twitter, in theory, offers an inexpensive way to measure real-time public sentiment. We take advantage of a natural experiment to assess the potential improvement that social media adds to forecast...

Several procedures to estimate daily risk measures in cryptocurrency markets have been recently proposed in the literature. Among them, procedures taking into account the presence of extreme observations, as well as procedures that include more than a single regime, have performed substantially...

The present study is an attempt to investigate the conditional volatility of returns of the two major segments of Indian financial markets viz. Re/$ Exchange Rate and Nifty Index Stock Index using GARCH (p,q) methodology. The period of the study has been taken to be April 2007-March 2017 and the...

Various parametric volatility models for financial data have been developed to incorporate high-frequency realized volatilities and better capture market dynamics. However, because high-frequency trading data are not available during the close-to-open period, the volatility models often ignore...

This paper proposes an efficient way to implement quadratic hedging schemes for European options when the asset return process follows an asymmetric non-affine GARCH model driven by Gaussian innovations. More specifically, using a lattice approximation for the underlying, we construct locally...

The paper examined the effect of macroeconomic variables on the volatility of conventional and Islamic indices. The macroeconomic variables included economic uncertainty index, federal funds rate, money supply, volatility fear index, consumer price index, Treasury bill and Brent oil price and...

This paper extends the investigation of the stochastic properties of electricity price growth rates beyond their first two conditional moments allowing for the impact of seasonality on their parameters. The main contributions include the breakdown of electricity price risk into its pure and...

We prove that the diffusion limit of Real-Time GARCH (RT-GARCH) exists if we introduce an auxiliary process to replace the squared return in the volatility process. The volatility of the diffusion follows an Ornstein-Uhlenbeck-type process which fails to be positive with probability one unless...

This paper investigates the time-varying correlation and the volatility behaviour of the New Age Technology (Industry 4.0) sectors and, traditional sectors in US (NASDAQ sectoral indices) and India (Nifty sectoral indices) using ADCC/DCC – GARCH models. We also assess the impact of Global...

This paper estimates and evaluates the forecasting performance of four alternative ARCH- type Models for predicting stock price index volatility using daily Egyptian data. The competing Models include GARCH, EGARCH, GJR and APAPCH used with four different distributions, Gaussian normal,...