This study contrasts GARCH models with diverse combined forecast techniques for Commodities Value at Risk (VaR) modeling, aiming to enhance accuracy and provide novel insights. Employing daily returns data from 2000 to 2020 for gold, silver, oil, gas, and copper, various combination methods are...

Purpose - Unlimited quantitative easing (QE) is one of the monetary policies used to stimulate the economy during the coronavirus disease 2019 (COVID-19) pandemic. This policy has affected the financial markets worldwide. This empirical research aims at studying the dependence among stock...

The paper focuses on investigating the correlation and volatility of fuel markets in four countries of the Visegrad region, namely Hungary, the Czech Republic, Poland, and Slovakia. The primary objective of the paper is to explore regional fuel markets and retail prices in these countries by...

The interconnection of stock markets offers valuable insights into the broader dynamics of global financial markets. This study uses the Diebold and Yilmaz index model to analyze and measure volatility spillovers and interconnectedness among APEC stock markets. The objective is to identify major...

The study examines the intraday volatility spillover between the exchange rate, gold, and crude oil using the Dynamic Generalized Conditional Correlation GARCH model (DCC GARCH) and the BEKK GARCH model. We investigate the spillover effects using the Diebold and Yilmaz, 2012 model to gain a...