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Modeling and forecasting carbon dioxide emission allowance spot price volatility : multifractal vs. GARCH-type volatility models

Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015

price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH …

Persistent link: https://www.econbiz.de/10011296114

News augmented GARCH(1,1) model for volatility prediction

Sadik, Zryan A.; Date, Paresh M.; Mitra, Gautam - In: IMA journal of management mathematics 30 (2019) 2, pp. 165-185

Persistent link: https://www.econbiz.de/10012057108

Forecasting volatility under fractality, regime-switching, long memory and student-t innovations

Lux, Thomas; Morales-Arias, Leonardo - 2009

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 … (GMM) estimation are both suitable for MSM-t models, (ii) empirical panel forecasts of MSM-t models show an improvement …

Persistent link: https://www.econbiz.de/10003864486

A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns

Haas, Markus; Liu, Ji-Chun - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 3, pp. 1-27

Persistent link: https://www.econbiz.de/10011897499

Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models : evidence from the first commitment period (2008-2012)

Zeitlberger, Alexander C. M.; Brauneis, Alexander - In: Central European journal of operations research : CEJOR … 24 (2016) 1, pp. 149-176

Persistent link: https://www.econbiz.de/10011665786

Effects of multiple financial news shocks on tourism demand volatility modelling and forecasting

Zhang, Yuruixian; Choo, Wei Chong; Yuhanis Abdul Aziz; … - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-47

economics and financial markets, the effects of combining multiple news shocks on the volatility of tourism demand have not yet …), conditional heteroscedastic volatility models, and multiple news shocks are suitable for forecasting the volatility of the … Malaysian tourist industry. Among them, three primarily volatility models (GARCH, EGARCH, and GJRGARCH) are used in conjunction …

Persistent link: https://www.econbiz.de/10013369139

Forecasting zero-inflated price changes with a Markov switching mixture model for autoregressive and heteroscedastic time series

Kömm, Holger; Küsters, Ulrich - In: International journal of forecasting 31 (2015) 3, pp. 598-608

Persistent link: https://www.econbiz.de/10011474425

Predicting extreme daily regime shifts in financial time series exchange/Johannesburg stock exchange : all share index

Makatjane, Katleho; Moroke, Ntebogang Dinah - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-18

During the past decades, seasonal autoregressive integrated moving average (SARIMA) had become one of a prevalent linear models in time series and forecasting. Empirical research advocated that forecasting with non-linear models can be an encouraging alternative to traditional linear models....

Persistent link: https://www.econbiz.de/10012508859

Are multifractal processes suited to forecasting electricity price volatility? : evidence from Australian intraday data

Segnon, Mawuli; Lau, Chi Keung; Wilfling, Bernd; Gupta, … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 1, pp. 73-98

Persistent link: https://www.econbiz.de/10013334628

Modelling and forecasting long memory time series with exponential and switching GARCH models

Amiri, Esmail - In: International journal of monetary economics and finance 12 (2019) 5, pp. 407-425

Persistent link: https://www.econbiz.de/10012155069