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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

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

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

Do we have robust GARCH models under different mean equations : evidence from exchange rates of Thailand?

Tanaporn Tungtrakul; Natthaphat Kingnetr; Songsak … - In: Robustness in econometrics, (pp. 599-613). 2017

Persistent link: https://www.econbiz.de/10011801995

Leverage effect in energy futures revisited

Carnero, M. Angeles; Pérez, Ana - In: Energy economics 82 (2019), pp. 237-252

Persistent link: https://www.econbiz.de/10012173930

Using a functional approach to test trending volatility in the price of Mexican and international agricultural products

Guerrero, Santiago; Hernández del Valle, Gerardo; … - In: Agricultural economics : the journal of the … 48 (2017) 1, pp. 3-13

Persistent link: https://www.econbiz.de/10011740505

Detecting positive feedback trading when autocorrelation is positive

Angelovska, Julijana - In: Zagreb international review of economics & business 16 (2013) 1, pp. 93-101

Persistent link: https://www.econbiz.de/10010258923

Forecasting volatility of stock indices with ARCH model

Alam, Md. Zahangir; Siddikee, Md. Noman; Masukujjaman, Md. - In: International journal of financial research 4 (2013) 2, pp. 126-143

Persistent link: https://www.econbiz.de/10010205105

Spillover effects between US and major European stock markets

Al-Zeaud, Hussein Ali - In: American journal of finance and accounting 3 (2013/14) 2/4, pp. 172-184

Persistent link: https://www.econbiz.de/10010403630

New volatility models under a Bayesian perspective : a case study

Cuervo, Edilberto Cepeda; Achcar, Jorge Alberto; … - In: Economia aplicada : EA 18 (2014) 2, pp. 179-197

Persistent link: https://www.econbiz.de/10011449738