Search Results - subject:"GARCH‐M model"

Deciphering the risk-return dynamics of pharmaceutical companies using the GARCH-M model

Kaur, Arvinder; Chavali, Kavita - In: Risks : open access journal 13 (2025) 5, pp. 1-24

using the GARCH-M model. A sample is collected by clustering daily closing and opening prices from the official websites of … when using the GARCH-M model, which indicates pharma stock volatility clustering before the COVID-19 pandemic, that a … through effective prediction based on time-series analysis. The GARCH-M model is compatible with predicting future stock price …

Persistent link: https://www.econbiz.de/10015409027

Modeling dynamic correlation and volatility of the Visegrad Group fuel markets

Krawiec, Monika; Borkowski, Bolesław; Shachmurove, Yochanan - In: Contemporary economics 17 (2023) 4, pp. 424-442

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...

Persistent link: https://www.econbiz.de/10014446868

Modeling dynamic correlation and volatility of the Visegrad Group fuel markets

Krawiec, Monika; Borkowski, Bolesław; Shachmurove, Yochanan - In: Contemporary Economics 17 (2023) 4, pp. 424-442

Persistent link: https://www.econbiz.de/10014544488

The Dynamic connectedness between risk and return in the fintech market of India : evidence using the GARCH-M approach

Bhatnagar, Mukul; Özen, Ercan; Taneja, Sanjay; Grima, Simon - In: Risks : open access journal 10 (2022) 11, pp. 1-16

any dynamic link between risk and return in the Indian fintech market. The variance-based Mean-GARCH (GARCH-M) model was …

Persistent link: https://www.econbiz.de/10014225995

Impacts of economic policy uncertainty on the time-varying risk-return relationship : evidence from G7 countries

He, Zhifang; Zheng, Jie - In: Applied economics letters 31 (2024) 4, pp. 270-274

Persistent link: https://www.econbiz.de/10014468759

Crude oil price and exchange rate : an analysis of the asymmetric effect and volatility using the non linear autoregressive distributed lag and general autoregressive conditional heterochedasticity in mean models

Saidi, La Ode; Aedy, Hasan; Saranani, Fajar; … - In: International Journal of Energy Economics and Policy : IJEEP 10 (2020) 1, pp. 104-108

Persistent link: https://www.econbiz.de/10012435288

Varying interest rate sensitivity of different property sectors : cross-country evidence from REITs

Lin, Yu-Cheng; Lee, Chyi Lin; Newell, Graeme - In: Journal of property investment & finance 40 (2022) 1, pp. 68-98

Persistent link: https://www.econbiz.de/10012990449

Total factor productivity growth and oil price volatility

Balashova, Svetlana P. - In: International journal of trade and global markets 14 (2021) 6, pp. 548-558

Persistent link: https://www.econbiz.de/10012693584

Do Africa stock markets exhibit any evidence of risk-return trade-off?

Emenike, Kalu O. - In: International journal of bonds and derivatives 4 (2021) 3, pp. 221-235

Persistent link: https://www.econbiz.de/10012612661

Revisiting the link between output growth and volatility : panel GARCH analysis

Deniz, Pinar; Stengos, Thanasēs; Yazgan, Mustafa Ege - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 743-771

Persistent link: https://www.econbiz.de/10012616893