Search Results - subject:"MS GARCH"

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, Spanish macroeconomic factors, and stock prices during major crises such as geopolitical conflicts, the global financial crisis (GFC), and COVID-19, covering the period from Q2-1995...

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

How does oil price uncertainty affect output in the Central and Eastern European economies? : the Bayesian-based approaches

Živkov, Dejan; Đurašković, Jasmina - In: Applied economic analysis : AEA 31 (2023) 91, pp. 39-54

Persistent link: https://www.econbiz.de/10014249456

The choice of GARCH models to forecast value-at-risk for currencies (euro exchange rates), crypto assets (Bitcoin and Ethereum), gold, silver and crude oil: Automated processes, statistical distribution models and the specification of the mean equation

Gohs, Andreas Marcus - 2022

, the ordinary and the MS-GARCH function and specifications of mean equations. …

Persistent link: https://www.econbiz.de/10014322586

Volatility regimes of selected central European stock returns: A Markov switching GARCH approach

Chocholatá, Michaela - In: Journal of Business Economics and Management (JBEM) 23 (2022) 4, pp. 876-894

traditional GARCH-type models (GARCH and GJR-GARCH) the two-regime Markov Switching GARCHtype models (MS-GARCH and MS …-GJR-GARCH models clearly confirmed the presence of the leverage effect. Consideration of the MS-GARCH-type models enabled to capture …

Persistent link: https://www.econbiz.de/10015401444

The choice of GARCH models to forecast value-at-risk for currencies (euro exchange rates), crypto assets (Bitcoin and Ethereum), gold, silver and crude oil : automated processes, statistical distribution models and the specification of the mean equation

Gohs, Andreas Marcus - 2022

, the ordinary and the MS-GARCH function and specifications of mean equations. …

Persistent link: https://www.econbiz.de/10013474092

Volatility regimes of selected central European stock returns : a Markov switching GARCH approach

Chocholatá, Michaela - In: Journal of business economics and management 23 (2022) 4, pp. 876-894

Persistent link: https://www.econbiz.de/10013499116

Ethical and unethical investments under extreme market conditions

Olofsson, Petter; Råholm, Anna; Uddin, Mohammed Gazi Salah - In: International review of financial analysis 78 (2021), pp. 1-22

Persistent link: https://www.econbiz.de/10013255864

A dynamic conditional regime-switching GARCH CAPM for energy and financial markets

Urom, Christian; Chevallier, Julien; Zhu, Bangzhu - In: Energy economics 85 (2020), pp. 1-45

Persistent link: https://www.econbiz.de/10012510103

Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models

Arellano, Miguel Ataurima; Perez Rodriguez, Gabriel - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012654810

The calendar anomalies on Warsaw Stock Exchange

Łukowski, Michał - In: Bank i kredyt 50 (2019) 6, pp. 529-550

Persistent link: https://www.econbiz.de/10012262251