Search Results - subject:"Generalized Autoregressive conditional heteroscedasticity"

Evaluating volatility using an ANFIS model for financial time series prediction

Orozco-Castañeda, Johanna M.; Alzate-Vargas, Sebastián; … - In: Risks : open access journal 12 (2024) 10, pp. 1-15

This paper develops and implements an Autoregressive Integrated Moving Average model with an Adaptive Neuro-Fuzzy Inference System (ARIMA-ANFIS) for BTCUSD price prediction and risk assessment. The goal of these forecasts is to identify patterns from past data and achieve an understanding of the...

Persistent link: https://www.econbiz.de/10015130356

Structural volatility impulse response analysis

Fengler, Matthias; Polivka, Jeannine - 2024

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

Growth volatility in the inflation-targeting regime : evidence from Indonesia

Kuncoro, Haryo; Fafurida, Fafurida; Izaan Jamil - In: Quantitative finance and economics 8 (2024) 2, pp. 235-254

Persistent link: https://www.econbiz.de/10015132813

Conditional macroeconomic and stock market volatility under regime switching : empirical evidence from Africa

Agyemang-Badu, Albert A.; Gallardo Olmedo, Fernando; … - In: Quantitative finance and economics 8 (2024) 2, pp. 255-285

Persistent link: https://www.econbiz.de/10015132814

Asymmetric effect of oil prices on Kazakhstan's stock market index and exchange rate

Syzdykova, Aziza; Azretbergenova, G. Ž. - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 6, pp. 15-23

Persistent link: https://www.econbiz.de/10015133086

The historical transition of return transmission, volatility spillovers, and dynamic conditional correlations : a fresh perspective and new evidence from the US, UK, and Japanese stock markets

Tsuji, Chikashi - In: Quantitative finance and economics 8 (2024) 2, pp. 410-436

Persistent link: https://www.econbiz.de/10015133094

Can U.S. macroeconomic indicators forecast cryptocurrency volatility?

Tzeng, Kae-Yih; Su, Yi Kai - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-26

Persistent link: https://www.econbiz.de/10015133663

Forecasting realized covariances using HAR-type models

Quiroz, Matias; Tafakori, Laleh; Manner, Hans - 2024

Persistent link: https://www.econbiz.de/10015185217

Extreme dynamic connectedness and hedging strategy across commodity, bond, currency, and stock markets : evidence from Asian Pacific, Canada, Mexico, and US countries

Mensi, Walid; El Khoury, Rim; Al Kharusi, Sami; Kang, … - In: International review of economics & finance : IREF 96 (2024) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10015203036

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