Search Results - subject:"GARCH"

Towards examining the volatility of top market-cap cryptocurrencies throughout the COVID-19 outbreak and the Russia-Ukraine war : empirical evidence from GARCH-type models

Gherghina, Ştefan Cristian; Constantinescu, … - 2025

Coin (BNB), USD Coin (USDC), XRP, and Cardano (ADA) - from 1 January 2020 to 1 September 2024, employing a range of GARCH … models (GARCH, EGARCH, TGARCH, and DCC-GARCH). This research aims to examine the persistence of leverage effects, volatility …

Persistent link: https://www.econbiz.de/10015358888

The shifted GARCH model with affine variance : applications in pricing

Escobar, Marcos; Hou, Yangyang; Stentoft, Lars - In: Finance research letters 71 (2025), pp. 1-8

Persistent link: https://www.econbiz.de/10015197067

Sovereign risk and stock market response to natural disasters in emerging economies

Bermúdez-Cespedes, Juan Pablo; Melo-Velandia, Luis Fernando - 2025

Persistent link: https://www.econbiz.de/10015326234

Are there other fish in the sea? : exploring the hedge, diversifier and safe-haven features of ESG investments

Pedini, Luca; Severini, Sabrina - In: Studies in economics and finance 42 (2025) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10015199632

On GARCH and autoregressive stochastic volatility approaches for market calibration and option pricing

Pang, Tao; Zhao, Yang - In: Risks : open access journal 13 (2025) 2, pp. 1-24

heteroskedasticity (GARCH) and autoregressive stochastic volatility (ARSV) models for volatility forecasting using the S&P 500 Index. In …-step-ahead volatility forecasts. The empirical results show that the ARSV(1) model outperforms the GARCH(1, 1) model in terms of the in … pricing call options, while the ARSV(1) model is significantly superior to the GARCH(1, 1) model regarding fitting and …

Persistent link: https://www.econbiz.de/10015334547

Investor attention and its impact on portfolio volatility and sectoral risk spillovers in Borsa Istanbul

Özdemir, Müge; Taş, Oktay - In: Borsa Istanbul Review 25 (2025) 1, pp. 107-126

Istanbul. We use advanced econometric models, including E-GARCH-X, GJR-GARCH-X, and multivariate BEKK-GARCH-X, and analyze …, indicating heightened sensitivity to investor attention and negative market news in these sectors. The BEKK-GARCH-X model results …

Persistent link: https://www.econbiz.de/10015334500

An IID test for functional time series with applications to high-frequency VIX index data

Huang, Xin; Shang, Han Lin; Siu, Tak Kuen - In: Risks : open access journal 13 (2025) 2, pp. 1-25

To address a key issue in functional time series analysis on testing the randomness of an observed series, we propose an IID test for functional time series by generalizing the Brock-Dechert-Scheinkman (BDS) test, which is commonly used for testing nonlinear independence. Similarly to the BDS...

Persistent link: https://www.econbiz.de/10015333723

Structural volatility impulse response analysis

Fengler, Matthias; Polivka, Jeannine - 2025

Persistent link: https://www.econbiz.de/10015339180

Multivariate Affine GARCH in portfolio optimization : analytical solutions and applications

Escobar, Marcos; Yang, Yu-Jung; Zagst, Rudi - 2025

Persistent link: https://www.econbiz.de/10015374358

Real-time GARCHCARR : A joint model of returns, realized measure of volatility and current intraday information

Buyun, Xu; Wu, Zhimin - 2025

Persistent link: https://www.econbiz.de/10015372603

1
2
3
4
5
6
7
8
9
10
Next
Last