studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH …) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative … subsequent shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator of the EGARCH …

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH …) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative … subsequent shocks to volatility. However, there are as yet no statistical properties available for the (quasi-) maximum …

Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH …) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative … shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator (QMLE) of the EGARCH …

Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH …) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative … shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator (QMLE) of the EGARCH …

This paper examines the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models … in Student’s t-distribution are adjudged the best volatility models for B2 and B3 respectively. The study recommends that … in modelling stock market volatility, variants of GARCH models and alternative error distribution should be considered …

relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the …

varılmaktadır. The study aims to augment commonly applied volatility models with support vector machines and neural networks. The … returns in Istanbul ISE100 stock index. Results suggest that volatility clustering, asymmetry and nonlinearity characteristics …

the stock index returns of Croatia, Greece, Poland and Turkey. In the second section, 1000 paths were obtained for each …

study we investigate the mean-volatility spillover effects that happen across international stock markets. The study, by … taking into consideration the stock market returns based on various indices, investigates the mean-volatility spillover … precise and separate measures of return spillovers and volatility spillovers. The analysis provides the evidence of strong …