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Effects of multiple financial news shocks on tourism demand volatility modelling and forecasting

Zhang, Yuruixian; Choo, Wei Chong; Yuhanis Abdul Aziz; … - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-47

economics and financial markets, the effects of combining multiple news shocks on the volatility of tourism demand have not yet …), conditional heteroscedastic volatility models, and multiple news shocks are suitable for forecasting the volatility of the … Malaysian tourist industry. Among them, three primarily volatility models (GARCH, EGARCH, and GJRGARCH) are used in conjunction …

Persistent link: https://www.econbiz.de/10013369139

Predicting extreme daily regime shifts in financial time series exchange/Johannesburg stock exchange : all share index

Makatjane, Katleho; Moroke, Ntebogang Dinah - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-18

During the past decades, seasonal autoregressive integrated moving average (SARIMA) had become one of a prevalent linear models in time series and forecasting. Empirical research advocated that forecasting with non-linear models can be an encouraging alternative to traditional linear models....

Persistent link: https://www.econbiz.de/10012508859

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

the behaviour of returns and their volatility during both the calm as well as various crises/turmoil periods. Besides the …-GJR-GARCH) were estimated in order to examine the volatility switches of the Central European transition stock markets. The t …-distribution of error terms was used to capture the dynamics of analysed returns more precisely. The results proved high volatility …

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

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

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 … important for market participants, implying predictability. The paper estimates multifactor stochastic volatility models for …

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

Dynamic asymmetric effect of currency risk pricing of exchange rate on equity markets : a regime-switching based C-Vine copulas method

Mudiangombe, Benjamin; Muteba Mwamba, John - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-30

This paper investigates whether currency risk is priced differently in the different sectors (industrial, financial, and basic materials) of equity markets in a sample of developed United States of America (USA) and developing economies (Brazil, India, Poland, and South Africa). The paper makes...

Persistent link: https://www.econbiz.de/10013368440

Impact of exchange rate on uncertainty in stock market : evidence from Markov regime-switching GARCH family models

Zolfaghari, Mehdi; Hoseinzade, Saeid - In: Cogent economics & finance 8 (2020) 1, pp. 1-49

model the IIR volatility. We find evidence of regime-switching behaviour in Iran's stock market. After removing the …

Persistent link: https://www.econbiz.de/10013179535

The incidence of spillover effects during the unconventional monetary policies era

Lacava, Demetrio; Scaffidi Domianello, Luca - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-18

unconventional monetary policy shields the Eurozone stock markets against spillovers of volatility from the US stock market. We … of volatility from the S&P500 index, on the one hand, and the announcement and implementation effects of unconventional … volatility of four Eurozone stock indices (CAC40, DAX30, FTSEMIB and IBEX35), we find how the increase in volatility brought …

Persistent link: https://www.econbiz.de/10012587787

Predicting volatility of bitcoin returns with ARCH, GARCH and EGARCH models

Yildirim, Hakan; Bekun, Festus Victor - In: Future Business Journal 9 (2023), pp. 1-8

market uncertainty and volatility of the investment instruments. Thus, the prediction of the uncertainty and volatilities of … to identify the best fit model that can predict the volatility of return of Bitcoin, which is in high demand as an … the residuals of the average equation model selected have ARCH effect. Volatility of Bitcoin return series after detection …

Persistent link: https://www.econbiz.de/10014382180

Bootstrapping time-varying uncertainty intervals for extreme daily return periods

Makatjane, Katleho - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-23

This study aims to overcome the problem of dimensionality, accurate estimation, and forecasting Value-at-Risk (VaR) and …

Persistent link: https://www.econbiz.de/10012804913

Estimation and prediction of commodity returns using long memory volatility models

Basira, Kisswell; Dhliwayo, Lawrence; Chinhamu, Knowledge; … - In: Risks : open access journal 12 (2024) 5, pp. 1-20

Modelling the volatility of commodity prices and creating more reliable models for estimating and forecasting commodity …) with normal innovations. For tobacco, the best model is ARFIMA (1, o, 1)-FIGARCH (1, ξ, 1) with SStD innovations. The … robust performing model for gold is the ARFIMA (1, o, 1)-FIGARCH (1, ξ, 1)-GED model. The best performing forecasting model …

Persistent link: https://www.econbiz.de/10014636621