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Impact of COVID-19, political, and financial events on the performance of commercial banking sector
Ghouse, Ghulam; Bhatti, Muhammad Ishaq; Shahid, … - In: Journal of Risk and Financial Management 15 (2022) 4, pp. 1-18
the GARCH model, which explains the current financial and political distress for the case of shocks from COVID-19. We …
Persistent link: https://www.econbiz.de/10014332387
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Do ESG Ratings Reduce the Asymmetry Behavior in Volatility?
Zarafat, Hashem; Liebhardt, Sascha; Eratalay, Mustafa Hakan - In: Journal of Risk and Financial Management 15 (2022) 8, pp. 1-32
apply autoregressive moving average models for the conditional means and GARCH and stochastic volatility models for the …
Persistent link: https://www.econbiz.de/10014332521
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Assessing the risk characteristics of the cryptocurrency market: A GARCH-EVT-Copula approach
Bruhn, Pascal; Ernst, Dietmar - In: Journal of Risk and Financial Management 15 (2022) 8, pp. 1-28
Theory. We utilise the GARCH-EVT approach in combination with a novel algorithm to automatically determine the optimal …
Persistent link: https://www.econbiz.de/10014332547
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Price stability properties and volatility analysis of precious metals: An ICSS algorithm aqpproach
Fatima, Sameen; Gan, Christopher; Hu, Baiding - In: Journal of Risk and Financial Management 15 (2022) 10, pp. 1-15
market stock performances, we use the ICSS algorithm along with the GARCH model to evaluate how the number of rapid changes …
Persistent link: https://www.econbiz.de/10014332664
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The governance and disclosure of IFRS 9 economic scenarios
Stander, Yolanda S. - In: Journal of Risk and Financial Management 16 (2023) 1, pp. 1-27
Extraordinary economic conditions during the COVID-19 pandemic caused many IFRS 9 impairment models to produce unreliable results. Severe market reactions, resulting from unprecedented events, prompted swift action from the regulatory authorities to maintain the financial system's stability....
Persistent link: https://www.econbiz.de/10014332822
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COVID-19 pandemic & financial market volatility: Evidence from GARCH models
Khan, Maaz; Kayani, Umar Nawaz; Khan, Mrestyal; Mughal, … - In: Journal of Risk and Financial Management 16 (2023) 1, pp. 1-20
-19 pandemic. We applied the GARCH (1, 1), GJR-GARCH (1, 1), and EGARCH (1, 1) econometric models on the daily time series … and for the whole period, each GARCH family evenly models the volatile behavior of the six financial markets. This study …
Persistent link: https://www.econbiz.de/10014332825
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Asymmetry and leverage with news impact curve perspective in Australian stock returns' volatility during COVID-19
Iqbal, Najam; Manzoor, Muhammad Saqib; Bhatti, Muhammad … - In: Journal of Risk and Financial Management 14 (2021) 7, pp. 1-15
generalised autoregressive conditional heteroskedasticity (GARCH) model and extend the analysis using the exponential GARCH … than the GARCH model in estimating the volatility of the Australian stock returns. However, another interesting finding is …
Persistent link: https://www.econbiz.de/10013200998
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Bitcoin return volatility forecasting: A comparative study between GARCH and RNN
Shen, Ze; Wan, Qing; Leatham, David J. - In: Journal of Risk and Financial Management 14 (2021) 7, pp. 1-18
forecasting accuracy and risk management efficiency. The results demonstrate that the RNN outperforms GARCH and EWMA in average …
Persistent link: https://www.econbiz.de/10013201021
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Modelling returns in US housing prices: You're the one for me, fat tails
Kiss, Tamás; Nguyen, Hoang; Österholm, Pär - In: Journal of Risk and Financial Management 14 (2021) 11, pp. 1-17
investigated the sources of heavy tails by estimating autoregressive models in which innovations can be subject to GARCH effects … both within- and out-of-sample. We found strong evidence in favour of modelling both GARCH effects and non …
Persistent link: https://www.econbiz.de/10013201190
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Return based risk measures for non-normally distributed returns: An alternative modelling approach
Samunderu, Eyden; Murahwa, Yvonne T. - In: Journal of Risk and Financial Management 14 (2021) 11, pp. 1-48
Developments in the world of finance have led the authors to assess the adequacy of using the normal distribution assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence, this paper attempts to analyse statistical...
Persistent link: https://www.econbiz.de/10013201223