Search Results - subject:"conditional volatility"

Forecasting Stock Market Volatilities Using MIDAS Regressions: An Application to the Emerging Markets

Alper, C. Emre; Fendoglu, Salih; Saltoglu, Burak - Volkswirtschaftliche Fakultät, … - 2008

We explore the relative weekly stock market volatility forecasting performance of the linear univariate MIDAS regression model based on squared daily returns vis-a-vis the benchmark model of GARCH(1,1) for a set of four developed and ten emerging market economies. We first estimate the two...

Persistent link: https://www.econbiz.de/10005789569

Multivariate Regime–Switching GARCH with an Application to International Stock Markets

Haas, Markus; Mittnik, Stefan - Center for Financial Studies - 2008

–of–sample portfolio selection and computation of Value–at–Risk. JEL Classification: C32, C51, G10, G11 Keywords: Conditional … Volatility, Markov–Switching, Multivariate GARCH 1 Introduction There is considerable evidence that the distribution of asset …

Persistent link: https://www.econbiz.de/10005176449

The Relationship Between Macroeconomic Volatility and Stock Market Volatility

Kasman, Saadet Kirbas - In: Istanbul Stock Exchange Review 8 (2008) 32, pp. 1-10

This paper attempts to determine the relationship between conditional stock market volatility and macroeconomic volatility using monthly data for Turkey from 1986 to 2003. The macroeconomic variables used include industrial production, the money supply M1, inflation, an exchange rate variable,...

Persistent link: https://www.econbiz.de/10010757699

The impacts of investor sentiment on different economic sectors: Evidence from Istanbul Stock Exchange

Uygur, Utku; Tas, Oktay - In: Borsa Istanbul Review 14 (2014) 4, pp. 236-241

determine whether investor sentiment has more influence on the conditional volatility of various sector indexes. After …. Significant evidence is found that a change in investor sentiment has more influence on conditional volatility of industry …The aim of this study is to construct a model for evaluating the effects of investor sentiment on the conditional …

Persistent link: https://www.econbiz.de/10011099458

Periodically collapsing Evans bubbles and stock-price volatility

Rotermann, Benedikt; Wilfling, Bernd - In: Economics Letters 123 (2014) 3, pp. 383-386

This paper analyzes stock-price volatility in the presence of periodically collapsing Evans bubbles. We derive a volatility formula that establishes a link between the bubble component and stock-price volatility. We demonstrate how to fit the volatility equation to stock-market data.

Persistent link: https://www.econbiz.de/10010776615

Dynamic hedging strategy in incomplete market: Evidence from Shanghai fuel oil futures market

Lin, Xiaoqiang; Chen, Qiang; Tang, Zhenpeng - In: Economic Modelling 40 (2014) C, pp. 81-90

This paper introduces a new incomplete index and establishes a new optimal hedging model. We find that when the market micro-noise is perfectly negatively correlated with the return of futures market, market incompleteness depends on the relative level of noise volatility. Especially when noise...

Persistent link: https://www.econbiz.de/10010781966

Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series

Allen, David E.; McAleer, Michael; Singh, Abhay K. - Department of Economics and Finance, College of … - 2014

This paper features an analysis of the relationship between the volatility of the Dow Jones Industrial Average (DJIA) Index and a sentiment news series using daily data obtained from the Thomson Reuters News Analytics (TRNA) provided by SIRCA (The Securities Industry Research Centre of the Asia...

Persistent link: https://www.econbiz.de/10010907418

The impacts of investor sentiment on returns and conditional volatility of international stock markets

Uygur, Utku; Taş, Oktay - In: Quality & Quantity: International Journal of Methodology 48 (2014) 3, pp. 1165-1179

-variance relation. The main objective of this research is to construct a model to evaluate the returns and conditional volatility of … conditional volatility in high sentiment periods weakening the mean–variance relation. This paper takes an international approach … more influence on conditional volatility when the sentiment is high. Copyright Springer Science+Business Media Dordrecht …

Persistent link: https://www.econbiz.de/10010993078

Volatility and dynamic conditional correlations of worldwide emerging and frontier markets

Baumöhl, Eduard; Lyócsa, Štefan - In: Economic Modelling 38 (2014) C, pp. 175-183

This study examines the relationship between time-varying correlations and conditional volatility among 32 worldwide …

Persistent link: https://www.econbiz.de/10011048880

Asymmetry and Leverage in Conditional Volatility Models

McAleer, Michael - Department of Economics and Finance, College of … - 2014

The three most popular univariate conditional volatility models are the generalized autoregressive conditional … on conditional volatility of positive and negative effects of equal magnitude, and leverage, which is the negative … appropriate regularity conditions; and (2) to show that leverage is not possible in these univariate conditional volatility models. …

Persistent link: https://www.econbiz.de/10010928922