Search Results - subject_exact:"Autoregressive conditional heteroscedasticity"

Managing systemic risk in energy and financial markets : evidence from five portfolio strategies based on connectedness

Bouzguenda, Mariem; Jarboui, Anis - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015620298

Examining the volatility spillover between the fear index and the magnificent seven technology stocks

Koycu, Erol; Nur, Tugba - 2026

This study investigates the volatility spillover dynamics between the VIX fear index and the Magnificent Seven technology stocks - namely Microsoft, Apple, Nvidia, Amazon, Alphabet, Meta Platforms, and Tesla - over the period of June 2012 to March 2024. To achieve this objective, the variance...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015620965

Volatility spillover effects in founding members of BRICS stock markets : a DCC-GARCH perspective

Agrawal, Pravin Kumar; Syed, Aamir Aijaz; Bhatt, Alka Singh - 2026

This study explores how the volatility spillover mechanism and dynamic dependence among the founding BRICS equity markets, namely IBOVESPA, MICEX, Nifty 50, SSE, and JSE, have evolved over time using a multivariate DCC-GARCH model. The analysis is conducted across three distinct regimes: the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015626064

Estimating, forecasting and backtesting a family of exponential and other GARCH models using the fEGarch package

Schulz, Dominik; Feng, Yuanhua; Peitz, Christian; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015627061

Comparing the estimation of value at risk and expected shortfall with LSTM and EGARCH family members

Li, Shujie - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015627081

Study on the validity of volatility trading

Castillo, Alberto; Mcwilliams, Jose Manuel Mira - 2026

This study examines the role of volatility mean reversion in option pricing and evaluates the performance of commonly used volatility estimators within a broad market context. Using a comprehensive dataset of end-of-day option chains for the 100 most actively traded U.S. equities from 2018 to...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015628389

Economic policy uncertainty and exchange rate volatility : an asymmetric GARCH-MIDAS approach with simulation-based validation

Barguellil, Achouak; Alnabulsi, Khalil - 2026

This paper examines the asymmetric impact of economic policy uncertainty (EPU) on exchange rate volatility across a sample of developed and emerging economies. Using an asymmetric GARCH-MIDAS model, volatility is decomposed into short-term and long-term components, with the latter associated...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015628443

A comparative APARCH volatility study of international markets

Madega, Fhulufhedzani Justice; Tshisikhawe, T. H.; … - 2026

This paper compares the daily return volatility by four leading international indices: JSE Top 40, FTSE 100, Nikkei 225 and S&P/ASX 200. The return series are modelled in ARMA process, where ARMA(1,3) values are taken for JSE Top 40 and S&P/ASX 200, ARMA(0,0) for FTSE 100, and ARMA(1,2) for...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015633278

Asymmetric effects of oil price shocks on stock markets : a NARDL analysis for Türkiye and Kazakhstan

İmamoğlu, Özkan - 2026

This study examines the asymmetric responses of stock market indices in Türkiye and Kazakhstan to oil price shocks during the 2010-2025 period. Using the Nonlinear Autoregressive Distributed Lag (NARDL) model, the study decomposes the nonlinear effects of oil price fluctuations on financial...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015633797

Structural spillovers among Bitcoin, Ethereum, Gold, and U.S. equities : evidence from the 2024 spot ETF institutionalization regime

Bukaita, Wisam; Li, Xinrui - 2026

This study examines dynamic interdependencies and risk transmission among major cryptocurrencies and traditional financial assets, including Bitcoin, Ethereum, U.S. equities, and gold, over the period 2017-2024. Particular attention is given to the structural shift associated with the 2024 U.S....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015633858

Adaptive LASSO-MGARCH for multivariate volatility forecasting

Xu, Yongdeng; Lyu, Juyi; Lu, Wenna - 2026

This paper evaluates an Adaptive LASSO-MGARCH model for multivariate volatility forecasting, with an application to green and conventional bonds, equities, energy commodities, and EU carbon allowances. By introducing coefficient-specific adaptive penalisation directly into the multivariate GARCH...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614300

Fear divides, not unites : volatility transmission and decoupling between cryptocurrency and renewable energy markets

Al-Harbi, Ahmad - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015616819

Oil price shocks and stock market responses : evidence from Saudi Arabia and Spain

Alzamel, Hussah Adnan; Othman, Jaizah - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015616888

Oil price volatility and unemployment in iraq : a two-stage approach using generalized autoregressive conditional heteroskedasticity-mixed-data sampling

Abed, Zainab Ahmed; Barguellil, Achouak; Fathalla, … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015616941

When oil moves the market : asymmetric tail effects of oil price shocks on stock returns in major oil-producing countries

Al-Jalahma, Abdulla; Al-Mohamad, Somar; Jreisat, Ammar … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015617386

Comparative analysis of tail risk in emerging and developed equity markets : an extreme value theory perspective

Dlamini, Sthembiso; Shongwe, Sandile Charles - 2026

This research explores the application of extreme value theory in modelling and quantifying tail risks across different economic equity markets, with focus on the Nairobi Securities Exchange (NSE20), the South African Equity Market (FTSE/JSE Top40) and the US Equity Index (S&P500). The study...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591162

Joint extreme value-at-risk and expected shortfall dynamics with a single integrated tail shape parameter

D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2026

We propose a robust semi-parametric framework for persistent time-varying extreme tail behavior, including extreme Value-at-Risk (VaR) and Expected Shortfall (ES). The framework builds on Extreme Value Theory and uses a conditional version of the Generalized Pareto Distribution (GPD) for...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015592338

Noncausal AR processes driven by causal GARCH volatility

Velasquez-Gaviria, Daniel; Zakoïan, Jean-Michel - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015604163

Ambiguity about volatility in the commodity futures market

Verousis, Thanos; Wang, Kai; Zhou, Zhiping - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015632674

Generating synthetic stock return distributions with diffusion models

Fukunishi, Yosuke; Qiu, Haorong; Takahashi, Akihiko - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015641268

Estimation of high-dimensional volatility matrices with dynamic conditional correlation-embedded mixed factor structures

Dai, Runyu; Matsuda, Yasumasa - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015641735

Crisis-regime dynamic volatility spillovers in U.S. commodity markets : a Bayesian mixture-identified SVAR approach

Deng, Xinyan; Aruga, Kentaka; Tang, Chaofeng - 2026

Conventional VAR-based volatility spillover measures rely on homoskedasticity and single-Gaussian assumptions, limiting their ability to capture structural breaks and heterogeneous shocks during crises. This study develops a flexible framework to analyze volatility transmission in U.S. commodity...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639153

Do uncertainty and action shocks affect G7 stock market synchronisation? : DCC-GARCH evidence from the 2024 U.S. election and the reciprocal tariffs announcement

Czech, Katarzyna; Wielechowski, Michał - 2026

Exogenous shocks can affect equity markets by changing volatility and cross-market co-movement. This study examines how two U.S.-centred events, treated as different shock types, influence time-varying conditional correlations between the U.S. stock market and other G7 markets. The uncertainty...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639142

Forecasting value at risk and expected shortfall in equity markets of high-income and Latin American countries

Liza, Fiorela; Rodriguez, Gabriel; Arellano Ataurima, Miguel - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638652

Impact of sustainability uncertainty on the volatility dynamics of digital asset class

Dutta, Anupam - 2026

The association between cryptocurrency and sustainability is a complex and growing topic. Given that such linkage requires a continuous investigation, this empirical research, unlike the existing literature, explores if the volatility dynamics of digital assets are driven by the changes in...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639595

Modelling time-varying volatility interactions

Campos-Martins, Susana; Amado, Cristina - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015647426

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Modelling time-varying volatility interactions

Campos-Martins, Susana; Amado, Cristina - 2021

Book / Working Paper

Enhanced cryptocurrency volatility forecasting via local linear forests

Noot, Joep; Sifat, Imtiaz - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015651243

What explains Bitcoin volatility? : evidence from an extended HAR framework

Fang, Yuanju - 2026

This study investigates the dynamics of Bitcoin's realized volatility by extending the Heterogeneous Autoregressive (HAR) framework to incorporate external shocks from major financial and commodity markets, namely the NASDAQ-100, Brent crude oil, and gold. To capture potential asymmetries,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015652109

Temporal dynamics of market microstructure in cryptocurrency perpetual futures : econometric evidence from centralized and decentralized exchanges

Zhivkov, Petar; Todorov, Venelin; Georgiev, Slavi - 2026

We apply rolling-window econometric methods, including GARCH(1,1) estimation, Bai-Perron structural break detection, CUSUM stability testing, and Granger causality analysis in bivariate VAR frameworks, to analyze the temporal dynamics of market integration in cryptocurrency perpetual futures,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015652336

Predicting the volatility of cryptocurrencies' returns using high-frequency data : a comparative analysis of GARCH, EGARCH, IGARCH, GJR-GARCH, LRE, and HAR models

Alsamaani, Abdulrahman; Aldhahi, Huda - 2026

This study provides a comprehensive evaluation of six volatility forecasting models applied to twelve dominant and less dominant cryptocurrencies across multiple time horizons using high-frequency intraday data. The exponential generalized autoregressive conditional heteroskedastic (EGARCH),...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015652166

Monotonic polynomial GARCH models for conditional higher moments

Beiner, Rouven; Süssmuth, Bernd - 2026

Density expansions such as the Gram-Charlier (GC) expansion allow for the modeling of time-varying higher moments. However, they can suffer from spurious multimodality, negative densities, and asymptotically light tails if truncated. This paper introduces monotonic polynomial generalized...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654688

Multivariate economic tail risk and scenario analysis using the survey of professional forecasters

Schick, Manuel; Opschoor, Anne - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638609

Considering the interaction between carbon allowances and cryptocurrencies across time and frequencies : potential risk-return and environmental benefits

Esparcia, Carlos; Jareño, Francisco; Escribano, Ana - 2026

This study examines the interdependencies between European Union Allowances (EUAs) on carbon emissions and traditional cryptocurrencies (Bitcoin, Ethereum, Binance Coin, Ripple and Bitcoin Cash) and green cryptocurrencies (Cardano, Stellar, EOS, TRON and IOTA) from January 2018 to February 2022....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015651725

Normalising flow enhanced GARCH models : a two-stage framework for flexible innovation modelling in financial time series

Hassan, Abdullah; Mlambo, Farai; Mongwe, Wilson Tsakane - 2026

We introduce the Normalising Flow GARCH (NF-GARCH), a two-stage hybrid framework that enhances traditional GARCH models by replacing restrictive parametric innovation distributions with learned densities via normalising flows. Our approach preserves the interpretability of standard variance...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015656145

Volatility estimation through stochastic processes : evidence from cryptocurrencies

Harasheh, Murad; Bouteska, Ahmed - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015359903

Does the VIX act as the main transmitter of mispricing in index futures markets? : insights from European and American regions

Samarakoon, S. M. R. K.; Pradhan, Rudra Prakash; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015371777

Market broadening and future volatility : a study of Russell 2000 and S&P 500 equal weight ETFs

Valadkhani, Abbas; O'Mahony, Barry - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372579

Real-time GARCHCARR : A joint model of returns, realized measure of volatility and current intraday information

Buyun, Xu; Wu, Zhimin - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372603

Examining impact of inflation and inflation volatility on economic growth : evidence from European Union economies

Pappas, Anastasios; Boukas, Nikolaos - 2025

Examining the economies of the European Union from 2000 to 2023, we have found no strong evidence that the inflation rate has a negative impact on economic growth. In contrast, in line with conventional economic theory, higher interest rates are associated with lower economic growth. The results...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015210370