Showing 1 - 10 of 9,861
This paper investigates the forecasting performance of three popular variants of the non-linear GARCH models, namely VS-GARCH …, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock … price indexes. Forecasts produced by each non-linear GARCH model and each index are evaluated using a common set of …
Persistent link: https://www.econbiz.de/10011335762
ARCH modelling framework of Engle (1982) and its GARCH generalization of Bollerslev (1986) gave a huge impetus to … describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …
Persistent link: https://www.econbiz.de/10010270556
correlation multivariate GARCH model. Using daily data from 2001 to 2011, we find that the correlations among stock markets in …
Persistent link: https://www.econbiz.de/10010318421
Persistent link: https://www.econbiz.de/10011807534
We examine the performance of volatility models that incorporate features such as long (short) memory, regime …-t). Second, we perform a comprehensive panel forecasting analysis of the MSM models as well as other competing volatility models … of the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) legacy. Our cross-sections consist of all …
Persistent link: https://www.econbiz.de/10010265243
Tse (1998) proposes a model which combines the fractionally integrated GARCH formulation of Baillie, Bollerslev and …
Persistent link: https://www.econbiz.de/10011422185
The aim of this paper is to demonstrate how the change in actual and potential market risks in the Dow Jones Industrial Average (DJIA) during the two-year period 2007-2008 can be analyzed with the help of-analysis. In the empirical analysis, the average of the Lyapunov exponents for the dynamic...
Persistent link: https://www.econbiz.de/10010321428
In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven by past trading …
Persistent link: https://www.econbiz.de/10010263738
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … multifractal model) dominate over GARCH and ARMA models. However, while FIGARCH and ARFIMA also have quite a number of cases with … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …
Persistent link: https://www.econbiz.de/10010294979
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … multifractal models) dominate over GARCH and ARMA models. However, while FIGARCH and ARFIMA also have a number of cases with … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …
Persistent link: https://www.econbiz.de/10010295136