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Testing volatility in Nigeria stock market using GARCH models

Atoi, Ngozi V. - In: CBN journal of applied statistics 5 (2014) 2, pp. 65-93

validate this result. The last twenty eight days out-of-sample forecast adjudged Power-GARCH (1, 1, 1) in student's t error …

Persistent link: https://www.econbiz.de/10011489480

Nigeria stock market volatility in comparison with some countries : application of asymmetric GARCH models

Uyaebo, Stephen O.; Atoi, Victor N.; Usman, Farida - In: CBN journal of applied statistics 6 (2015) 2, pp. 133-160

This study estimated Asymmetric generalized autoregressive conditional heteroscadasticity models with endogenous break dummy on two innovation assumptions using daily all share index of Nigeria, Kenya, United States, Germany, South Africa and China spanning from February 14, 2000 to February 14,...

Persistent link: https://www.econbiz.de/10011460578

Empirical testing of models of autoregressive conditional heteroscedasticity used for prediction of the volatility of Bulgarian investment funds

Petrova, Mariana; Todorov, Teodor - In: Risks : open access journal 11 (2023) 11, pp. 1-30

investment decisions. The used risk attribution quantification models GARCH (1.1), EGARCH (1.1), GARCH-M (1.1) and TGARCH (1 … models GARCH, EGARCH, GARCH-M and TGARCH with specification (1.1). The research covers the net balance sheet value of forty … of the models GARCH, EGARCH and GARCH-M with the highest risk concentration the investment fund "Golden Lev Index 30 …

Persistent link: https://www.econbiz.de/10014436423

Day-of-the-week effect : petroleum and petroleum products

Meek, Andrew C.; Hoelscher, Seth A. - In: Cogent economics & finance 11 (2023) 1, pp. 1-19

This study tests for calendar anomalies in returns for petroleum and petroleum products via the futures market, specifically, the day-of-the-week (DOW) effect. The energy future contracts in this study are the WTI (West Texas Intermediate), Brent, RBOB (Reformulated Blendstock for Oxygenate...

Persistent link: https://www.econbiz.de/10014500847

Volatility and asymmetry of the USD/GHS exchange rate : monetary policy implications in Ghana

Akosah, Nana Kwame - In: Ghanaian journal of economics : GJE ; a journal of the … 2 (2014), pp. 154-175

Persistent link: https://www.econbiz.de/10011455150

The day of the week effects in the Stock Exchange of Casablanca : analysis by intraday and interday returns

Sy, Aida; Derbali, Abdelkader - In: International journal of critical accounting : IJCA 7 (2015) 4, pp. 366-386

Persistent link: https://www.econbiz.de/10011438907

ARCH models and an application on exchange rate volatility : ARCH and GARCH models

Kantar, Lokman - In: Handbook of research on emerging theories, models, and …, (pp. 287-300). 2021

by nonlinear methods. This chapter discusses the GARCH models (GARCH, GJR, EGARCH), which are nonlinear models, and tests … indicated that the GARCH (1,1) model successfully explained the volatility in the exchange rate. …

Persistent link: https://www.econbiz.de/10012604258

The impact of the Dubai International Airport's activity volume on the Emirati stock market

Dempere, Juan M.; Modugu, Kennedy Prince - In: International journal of business performance … 23 (2022) 1/2, pp. 118-134

Persistent link: https://www.econbiz.de/10012798741

Towards examining the volatility of top market-cap cryptocurrencies throughout the COVID-19 outbreak and the Russia-Ukraine war : empirical evidence from GARCH-type models

Gherghina, Ştefan Cristian; Constantinescu, … - 2025

models (GARCH, EGARCH, TGARCH, and DCC-GARCH). This research aims to examine the persistence of leverage effects, volatility … Coin (BNB), USD Coin (USDC), XRP, and Cardano (ADA) - from 1 January 2020 to 1 September 2024, employing a range of GARCH …

Persistent link: https://www.econbiz.de/10015358888

Volatility analysis in international indices

Altin, Hakan - In: International journal of sustainable economies … 11 (2022) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10014290701