Search Results - subject:"Garch-M"

Modelling volatility in job loss during the COVID-19 pandemic : the Malaysian case

Habibullah, Muzafar Shah; Mohd Yusof Saari; Maji, … - In: Cogent economics & finance 12 (2024) 1, pp. 1-26

asymmetric GARCH-M (EGARCH-M, TGARCH-M, and PGARCH-M) were further applied. The findings from different versions of the ARDL(p,q1 …

Persistent link: https://www.econbiz.de/10015394376

Empirical testing of models of autoregressive conditional heteroscedasticity used for prediction of the volatility of Bulgarian investment funds

Petrova, Mariana; Todorov, Teodor - In: Risks : open access journal 11 (2023) 11, pp. 1-30

investment decisions. The used risk attribution quantification models GARCH (1.1), EGARCH (1.1), GARCH-M (1.1) and TGARCH (1 … models GARCH, EGARCH, GARCH-M and TGARCH with specification (1.1). The research covers the net balance sheet value of forty … of the models GARCH, EGARCH and GARCH-M with the highest risk concentration the investment fund "Golden Lev Index 30 …

Persistent link: https://www.econbiz.de/10014436423

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

interrelationships between Visegrad fuel markets. Additionally, the paper uses multivariate dynamic conditional GARCH (DCC GARCH-M …

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

interrelationships between Visegrad fuel markets. Additionally, the paper uses multivariate dynamic conditional GARCH (DCC GARCH-M …

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

Modeling and forecasting volatility of stock market using family of GARCH models : evidence from CPEC linked countries

Fraz, Tayyab Raza; Fatima, Samreen - In: Global economy journal : GEJ 22 (2022) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10013556985

Banking FinTech and stock market volatility? : the BIZUM case

Arenas, Laura; Vizuete-Luciano, Emili; Gil Lafuente, … - In: Research in international business and finance 71 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10015061616

Optimum and coherent economic capital forecasts with reinforcement machine learning : evidence from optimization algorithms under long and short-sales multiple asset portfolios of emerging markets

Al Janabi, Mazin A. M. - In: Banking resilience : new insights on corporate …, (pp. 343-389). 2024

Persistent link: https://www.econbiz.de/10015179402

Can investor sentiment explain the abnormal returns of volatility-managed portfolio strategy? : Evidence from the Chinese stock market

Zhou, Jie; Liu, Wei-Qi; Li, Jian-Ying - In: Emerging markets, finance & trade : a journal of the … 60 (2024) 13, pp. 2907-2937

Persistent link: https://www.econbiz.de/10015097456

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