Search Results - subject:"forecasting volatility"

Forecasting stochastic volatility characteristics for the financial fossil oil market densities

Solibakke, Per Bjarte - In: Journal of Risk and Financial Management 14 (2021) 11, pp. 1-17

This paper builds and implements multifactor stochastic volatility models for the international oil/energy markets (Brent oil and WTI oil) for the period 2011-2021. The main objective is to make step ahead volatility predictions for the front month contracts followed by an implication discussion...

Persistent link: https://www.econbiz.de/10013201194

Forecasting stochastic volatility characteristics for the financial fossil oil market densities

Solibakke, Per Bjarte - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-17

Persistent link: https://www.econbiz.de/10012794710

Modeling and forecasting USD/UGX volatility through GARCH family models : evidence from Gaussian, T and GED distributions

Erkekoglu, Hatice; Garang, Aweng Peter Majok; Deng, … - In: International journal of economics and financial issues … 10 (2020) 2, pp. 268-281

Persistent link: https://www.econbiz.de/10012215184

On the dynamic behavior of the worldwide sovereign Credit Default Swaps markets

Sabkha, Saker - 2018

Persistent link: https://www.econbiz.de/10012165711

An Empirical Evaluation of GARCH Models in Value-at-Risk Estimation: Evidence from the Macedonian Stock Exchange

Bucevska, Vesna - In: Business Systems Research 4 (2013) 1, pp. 49-64

Background: In light of the latest global financial crisis and the ongoing sovereign debt crisis, accurate measuring of market losses has become a very current issue. One of the most popular risk measures is Value-at-Risk (VaR). Objectives: Our paper has two main purposes. The first is to test...

Persistent link: https://www.econbiz.de/10011019968

SEA presidential address: Group connectivity and cooperation

Urbano, Amparo - In: SERIEs - Journal of the Spanish Economic Association 2 (2011) 2, pp. 139-158

A model-free methodology is used for the first time to estimate a daily volatility index (VIBEX-NEW) for the Spanish financial market.We use a public data set of daily option prices to compute this index and showthat daily changes in VIBEXNEW display a negative, tight contemporaneous...

Persistent link: https://www.econbiz.de/10010317133

The information content in a volatility index for Spain

Gonzalez-Perez, Maria T.; Novales, Alfonso - In: SERIEs - Journal of the Spanish Economic Association 2 (2011) 2, pp. 185-216

Persistent link: https://www.econbiz.de/10010333080

The Predictive Power of Conditional Models: What Lessons to Draw with Financial Crisis in the Case of Pre-Emerging Capital Markets?

El Bouhadi, Abdelhamid; Achibane, Khalid - Volkswirtschaftliche Fakultät, … - 2009

of expected exceedances (shortfalls) of VaR measurement. In second, we are providing a forecasting volatility under the …

Persistent link: https://www.econbiz.de/10008502742

Nonlinearities in Exchange rates: Double EGARCH Threshold Models for Forecasting Volatility

Sitzia, Bruno; Iovino, Doriana - Volkswirtschaftliche Fakultät, … - 2008

This paper illustrates how to specify and test a Double Threshold EGARCH Model for some important exchange rates. The analysis is monthly and refers to the period 1990.01-2007.06. The procedure involves testing for Threshold effects the residuals of a linear autoregressive model of the exchange...

Persistent link: https://www.econbiz.de/10005835400

A multivariate generalized independent factor GARCH model with an application to financial stock returns

García-Ferrer, Antonio; González-Prieto, Ester; … - Departamento de Estadistica, Universidad Carlos III de … - 2008

We propose a new multivariate factor GARCH model, the GICA-GARCH model , where the data are assumed to be generated by a set of independent components (ICs). This model applies independent component analysis (ICA) to search the conditionally heteroskedastic latent factors. We will use two ICA...

Persistent link: https://www.econbiz.de/10005249627