Search Results - subject:"Volatility persistence"

Stock returns, trading volumes and market volatility : a study on the Indian stock market

Naik, Pramod Kumar; Sethy, Tapas Kumar - In: The Indian economic journal 70 (2022) 3, pp. 406-416

Persistent link: https://www.econbiz.de/10013387728

Asymmetry and persistence in return volatility of commodity futures

Hassan, Aun - In: Journal of international business and economics : JIBE 22 (2022) 4, pp. 26-36

Persistent link: https://www.econbiz.de/10014246694

Uusing the symmetric models garch (1.1) and garch-m (1.1) to investigate volatility and persistence for the european and us financial markets

Duță, Violeta - In: Financial Studies 22 (2018) 1 (79), pp. 64-86

In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily frequency for European and US financial markets. In the study we included fourteen stock indices (twelve Europeans and two Americans), during March 2013 - January 2017. The results...

Persistent link: https://www.econbiz.de/10012484762

Uusing the symmetric models garch (1.1) and garch-m (1.1) to investigate volatility and persistence for the european and us financial markets

Duță, Violeta - In: Financial studies 22 (2018) 1, pp. 64-86

Persistent link: https://www.econbiz.de/10011964941

African equity markets' exposure to oil and other commodities : implications for global portfolio diversification

Alagidede, Imhotep Paul; Boako, Gideon; Sjo, Bo - In: Journal of economics and finance : JEF 45 (2021) 2, pp. 288-315

Persistent link: https://www.econbiz.de/10012496689

A realized EGARCH-MIDAS model with higher moments

Wu, Xinyu; Xie, Haibin - In: Finance research letters 38 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10012485028

Forecasting stock market volatility : an asymmetric conditional autoregressive range mixed data sampling (ACARR-MIDAS) model

Wu, Xinyu; Han, Yang; Ma, Chaoqun - In: Journal of risk 23 (2021) 6, pp. 1-35

Persistent link: https://www.econbiz.de/10013473133

Financing the green projects : market efficiency and volatility persistence of green versus conventional bonds, and the comparative effects of health and financial crises

Adekoya, Oluwasegun B.; Oliyide, Johnson A.; Asl, Mahdi … - In: International review of financial analysis 78 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10013254468

Conditional volatility persistence and volatility spillovers in the foreign exchange market

Su, Fei - In: Research in international business and finance 55 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10013264608

Foreign exchange news announcements and the volatility of stock returns in Nigeria

Omokehinde, Joshua Odutola; Abata, Matthew Adeolu; … - In: SPOUDAI - Journal of Economics and Business 67 (2017) 3, pp. 3-17

of ARCH and GARCH coefficients (» + Ø = 0.9) is approximately close to unity - indicating strong evidence of volatility … persistence in the Nigerian stock market. …

Persistent link: https://www.econbiz.de/10011994272