Search Results - subject:"GARCH Models"

Structural volatility impulse response analysis

Fengler, Matthias; Polivka, Jeannine - 2025

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

Structural volatility impulse response analysis

Fengler, Matthias; Polivka, Jeannine - 2024

Persistent link: https://www.econbiz.de/10015130707

Volatility modeling and spillover : the Turkish and Russian stock markets

Galip Gençyürek, Ahmet - In: Istanbul business research 53 (2024) 1, pp. 81-101

This study investigates the internal and external (spillover) characteristics of the volatility of the Turkish and Russian stock market indices. To this end, generalized autoregressive conditional heteroskedasticity models that are classified as short memory (GARCH, EGARCH, GJR-GARCH, APARCH)...

Persistent link: https://www.econbiz.de/10015095093

Evolving energies : analyzing stability amidst recent challenges in the natural gas market

Bouaziz, Tarek; Abid, Ilyes; Guesmi, Khaled; … - In: International review of financial analysis 95 (2024) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10015149290

Price dynamics and volatility jumps in bitcoin options

Chen, Kuo Shing; Yang, J. Jimmy - In: Financial innovation : FIN 10 (2024), pp. 1-29

In the FinTech era, we contribute to the literature by studying the pricing of Bitcoin options, which is timely and important given that both Nasdaq and the CME Group have started to launch a variety of Bitcoin derivatives. We fnd pricing errors in the presence of market smiles in Bitcoin...

Persistent link: https://www.econbiz.de/10014547297

Investigating the effects of the COVID-19 pandemic on stock volatility in Sub-Saharan Africa : analysis using explainable artificial intelligence

Ncube, Mbongiseni; Sibanda, Mabutho; Matenda, Frank Ranganai - In: Economies : open access journal 12 (2024) 5, pp. 1-35

heteroskedasticity (GARCH) models to estimate volatility and Explainable Artificial Intelligence (XAI) in the form of SHapley Additive …

Persistent link: https://www.econbiz.de/10014635985

Oil volatility uncertainty : impact on fundamental macroeconomics and the stock index

Aladwani, Jassim - In: Economies : open access journal 12 (2024) 6, pp. 1-23

This study utilized both single-regime GARCH and double-regime GARCH models to investigate oil price volatility …

Persistent link: https://www.econbiz.de/10014636061

Financial and oil market's co-movements by a regime-switching copula

Soury, Manel - In: Econometrics : open access journal 12 (2024) 2, pp. 1-19

Over the years, oil prices and financial stock markets have always had a complex relationship. This paper analyzes the interactions and co-movements between the oil market (WTI crude oil) and two major stock markets in Europe and the US (the Euro Stoxx 50 and the SP500) for the period from 1990...

Persistent link: https://www.econbiz.de/10014636410

Dating common commodity price and inflation shocks with alternative approaches

Esposti, Roberto - In: Bio-based and applied economics 13 (2024) 2, pp. 171-201

processes. The first looks for common volatility clusters using individual GARCH models to detect whether and when respective …

Persistent link: https://www.econbiz.de/10015047658

Enhancing forecasting accuracy in commodity and financial markets : insights from GARCH and SVR Models

Ampountolas, Apostolos - In: International Journal of Financial Studies : open … 12 (2024) 3, pp. 1-20

) outperforms traditional GARCH models for short-term forecasting horizons, indicating its potential as an alternative forecasting …

Persistent link: https://www.econbiz.de/10015100922