In this study, we investigate a sequential procedure for the early detection of parameter changes in conditionally heteroscedastic time series models. We introduce the detectors based on the cumulative sum of score vectors and residuals for this procedure. The asymptotic properties of the...

The volatility of equity returns for two beverages traded on the Nigerian stock exchange is the subject of this study. The ARCH effect test demonstrated that the two beverages disprove the claim that there is no ARCH effect. According to the preliminary analysis, both beverages were volatile....

The outbreak of the Covid-19 pandemic has led to a slowdown in the world’s energy trade and changes in the use of energy resources. Meanwhile, global conditions are confused and can affect fossil energy spot markets, including crude oil, gasoline, heating oil, and natural gas. In this paper,...

Events such as pandemic, changes in government policies and wars result in structural breaks in many areas including oil markets. RS GARCH MIDAS models, which consider both structural changes and macroeconomic factors affecting the oil prices have been studied by very few authors where they...

Volatility forecasting is important in financial econometrics and is mainly based on the application of various GARCH-type models. However, it is difficult to choose a specific GARCH model that works uniformly well across datasets, and the traditional methods are unstable when dealing with...

Forecasting returns for the Artificial Intelligence and Robotics Index is of great significance for financial market stability, and the development of the artificial intelligence industry. To provide investors with a more reliable reference in terms of artificial intelligence index investment,...

This study investigates tail dependence among five major cryptocurrencies, namely Bitcoin, Ethereum, Litecoin, Ripple, and Bitcoin Cash, and uncertainties in the gold, oil, and equity markets. Using the cross-quantilogram method and quantile connectedness approach, we identify cross-quantile...

Across the globe, COVID-19 has disrupted the financial markets, making them more volatile. Thus, this paper examines the market volatility and asymmetric behavior of Bitcoin, EUR, S&P 500 index, Gold, Crude Oil, and Sugar during the COVID-19 pandemic. We applied the GARCH (1, 1), GJR-GARCH (1,...