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Which model performs better while forecasting stock market volatility? : answer for Dhaka Stock Exchange (DSE)

Abdullah, S. M.; Kabir, Mohammod Akbar; Jahan, Kawsar; … - In: Theoretical economics letters 8 (2018) 14, pp. 3203-3222

Persistent link: https://www.econbiz.de/10011955144

Forecasting volatility stock return : evidence from the Nordic stock exchanges

Dritsakis, Nikolaos; Savvas, Georgios - In: International journal of economics and finance 9 (2017) 2, pp. 15-31

Persistent link: https://www.econbiz.de/10011617883

Forecasting volatility of selected banks of Dhaka Stock Exchange (DSE), Bangladesh with GARCH (p, q) type models

Hossain, M. S.; Md. Azizul Baten; Mukta, F. B - In: Journal of economic cooperation & development 42 (2021) 1, pp. 117-141

Persistent link: https://www.econbiz.de/10013170936

Improving volatility forecasts with GED-GARCH model: evidence from U.S. stock market

Giacalone, Massimiliano; Mattera, Raffaele; Cozzucoli, … - In: The empirical economics letters : a monthly … 18 (2019) 7, pp. 785-791

Persistent link: https://www.econbiz.de/10012315480

The predictability, volatility persistence, and leverage effects in stock market returns : a study of BRICS stock market indices

Joo, Bashir Ahmad; Ghulam, Younis Ahmed - In: American journal of finance and accounting 7 (2023) 3/4, pp. 188-213

Persistent link: https://www.econbiz.de/10014490945

Applying quantum mechanics for extreme value prediction of VaR and ES in the ASEAN stock exchange

Chukiat Chaiboonsri; Satawat Wannapan - In: Economies : open access journal 9 (2021) 1/13, pp. 1-14

The advantage of quantum mechanics to shift up the ability to econometrically understand extreme tail losses in financial data has become more desirable, especially in cases of Value at Risk (VaR) and Expected Shortfall (ES) predictions. Behind the non-novel quantum mechanism, it does...

Persistent link: https://www.econbiz.de/10012483260

Modelling & Forecasting Volatility of Daily Stock Returns Using GARCH Models : Evidence from Dhaka Stock Exchange

Ahmed, Md. Tuhin; Naher, Nurun - 2021

Modelling volatility has become increasingly important in recent times for its diverse implications. The main purpose … of this paper is to examine the performance of volatility modelling using different models and their forecasting accuracy … Autoregressive Conditional Heteroscedastic (GARCH), Asymmetric Power Autoregressive Conditional Heteroscedastic (APARCH), Exponential …

Persistent link: https://www.econbiz.de/10013214948

Modelling long memory dependence structure using FIGARCH-copula approach : evidence from major Asian stock markets

Gupta, Pankaj Kumar; Mittal, Prabhat - In: Global business & economics review 30 (2024) 1, pp. 56-71

Persistent link: https://www.econbiz.de/10014490993

Market momentum amplifies market volatility risk : evidence from China's equity market

Liang, Chao; Luu Duc Toan Huynh; Li, Yan - In: Journal of international financial markets, … 88 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014483186

International stock volatility predictability : new evidence from uncertainties

Wang, Jiqian; Ma, Feng; Wang, Tianyang; Wu, Lan - In: Journal of international financial markets, … 85 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014433290