Search Results - subject:"Generalized Autoregressive conditional heteroscedasticity"

Volatility spillovers and contagion during major crises : an early warning approach based on a deep learning model

Sahiner, Mehmet - In: Computational economics 63 (2024) 6, pp. 2435-2499

Persistent link: https://www.econbiz.de/10014636752

Asymmetric spillover and quantile linkage between the United States and ASEAN+6 stock returns under uncertainty

Surachai Chancharat; Nongnit Chancharat - In: Journal of open innovation : technology, market, and … 10 (2024) 3, pp. 1-13

This study examines the spillover and connectedness network among the United States and the Association of Southeast Asian Nations (ASEAN)+6 stock market returns during times of uncertainty in the world economy, such as the COVID-19 pandemic and the conflict between Russia and Ukraine. The...

Persistent link: https://www.econbiz.de/10015071478

Sequential change-point detection in time series models with conditional heteroscedasticity

Lee, Youngmi; Kim, Sungdon; Oh, Haejune - In: Economics letters 236 (2024), pp. 1-5

Persistent link: https://www.econbiz.de/10015071897

Asymmetric models for realized covariances

Bauwens, Luc; Dzuverovic, Emilija; Hafner, Christian M. - 2024

Persistent link: https://www.econbiz.de/10015072281

The impact of COVID-19 pandemic on the Jordanian stock market returns volatility : evidence from ASE20

Saqfalhait, Nahil Ismail; Alzoubi, Omar Mohammad - In: Economies : open access journal 12 (2024) 9, pp. 1-20

This research examines the impact of the COVID-19 pandemic on the volatility behavior of Amman Stock Exchange (ASE) returns using ARMA-GARCH-type models for three sub-periods: pre-COVID-19, during COVID-19, and post-COVID-19. The research finds that volatility persistence is significant across...

Persistent link: https://www.econbiz.de/10015073742