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Volatility Dynamics in Equity Returns : A Multi-GARCH Approach

Boako, Gideon - 2020

In this paper, volatility of stock returns in Ghana is modeled from July 4, 2011 to October 3, 2014 using both … Gaussian distribution assumption. Results show that equity returns exhibit stylized characteristics such as volatility …) is superior in modeling the volatility of returns on the equity market for the studied period …

Persistent link: https://www.econbiz.de/10012852480

On the volatility of daily stock returns of Total Nigeria Plc : evidence from GARCH models, value-at-risk and backtesting

Emenogu, Ngozi G.; Adenomon, Monday Osagie; Nweze, … - In: Financial innovation : FIN 6 (2020) 18, pp. 1-25

This study investigates the volatility in daily stock returns for Total Nigeria Plc using nine variants of GARCH models … investigation of the volatility, VaR, and backtesting of the daily stock price of Total Nigeria Plc is important as most previous …

Persistent link: https://www.econbiz.de/10012268756

The stock returns volatility based on the GARCH (1,1) model : the superiority of the truncated standard normal distribution in forecasting volatility

Gulay, Emrah; Emec, Hamdi - In: Iranian economic review : journal of University of Tehran 23 (2019) 1, pp. 87-108

Persistent link: https://www.econbiz.de/10012152550

Good volatility, bad volatility, and time series return predictability

Yu, Honghai; Hao, Xianfeng; Wang, Yudong - In: The European journal of finance 28 (2022) 6, pp. 571-595

Persistent link: https://www.econbiz.de/10013373294

Model-free moments : predictability of STOXX Europe 600 Oil & Gas future returns

Capriotti, Alessio; Muzzioli, Silvia - 2024

Persistent link: https://www.econbiz.de/10014550830

Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect

Pourkhanali, Armin; Tafakori, Laleh; Bee, Marco - In: International review of financial analysis 89 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014467094

Multiperiod portfolio allocation : a study of volatility clustering, non-normalities and predictable returns

Simonato, Jean-Guy; Denault, Michel - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014486271

Event study of the crude oil futures market : a mixed event response model

Karali, Berna; Ye, Shiyu; Ramírez, Octavio A. - In: American journal of agricultural economics 101 (2019) 3, pp. 960-985

Persistent link: https://www.econbiz.de/10012114862

The effects of oil price volatility on South African stock market returns

Musampa, Kongolo; Eita, Joel Hinaunye; Meniago, Christelle - In: Economies : open access journal 12 (2024) 1, pp. 1-20

The aim of this study is to assess the response of the South African stock market returns to oil price volatility … EGARCH process is the best univariate model to capture oil price volatility. Interestingly, this study also revealed that the … the impact of higher oil prices, while in the long-term, policies aimed at reducing the volatility in oil prices would be …

Persistent link: https://www.econbiz.de/10014480171

Forecasting volatility in oil returns using asymmetric GARCH models : evidence from Tanzania

Letema, Laban Gaspe; Mbwambo, Haika Andrew - 2023

Persistent link: https://www.econbiz.de/10014281963