conditional volatility
MODELLING CONDITIONAL VOLATILITY IN SHARIAH INDEX OF GCC COUNTRIES
... The conditional volatility was measured through GARCH (1, 1) model and its ...past volatility highly influenced the current volatility of all the series under ...period volatility than ...
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A Comparison of Conditional Volatility Estimators for the ISE National 100 Index Returns
... the volatility models improves the overall ...third volatility model is NPGARCHK model discussed in Bollerslev et ...the volatility equation has a shift parameter , which allows the minimum ...
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Forecasting conditional volatility on the RIN market using MS GARCH model
... than volatility and high prices which were at the end of 2012 being a sign that something was wrong with RIN markets or RFS, RIN prices did their job by signaling that higher ethanol mandates were coming and would ...
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Investor Following and Volatility: A GARCH Approach
... In this paper, we aim to investigate whether investor following is a determinant of the stock market volatility. To measure investor following, we use “Google Insights for search” freshly introduced to the ...
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Essays on the Modelling of S&P 500 Volatility
... Chapter 1: Introduction to the Study ii To provide evidence that the in-sample performance of asymmetrical and symmetrical conditional volatility models are prone to the state of volatil[r] ...
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Non Stationary Stochastic Volatility Model for Dynamic Feedback and Skewness
... high volatility variance induces positive proba- bility for the event that realization of conditional volatility is far away from its conditional ...on volatility (λ θ,t → 0), simple ...
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Non-linear Volatility and Dynamics of the Tunisian Stock Market
... allow conditional standard deviation to evolve ...autoregressive conditional volatility allows for extracting the portion anticipated ex- ante of historical volatility based on the possible ...
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Absolute Return Volatility
... both volatility series have unconditional distributions that are fat- tailed and in figure 2 both conditional volatility series vary across time and volatility clusters are clearly evident for ...
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Transmission of International Energy Price Shocks to Australian Stock Market and its Implications for Portfolio Formation
... on volatility transmission to Australian stock market are mainly from volatility of other stock ...markets. Volatility transmits from the latter into the Australian ...that volatility ...
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A study on the volatility forecast of the US housing market in the 2008 crisis
... the conditional mean and volatility for the pre-crisis and post-crisis periods, ...both conditional mean and conditional volatility have generally been over-predicted by all models in ...
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Erratum to “Testing and Predicting Volatility Spillover—A Multivariate GJR GARCH Approach” [Theoretical Economics Letters, 2019, 9, 83 99]
... on volatility than does the “good” ...future volatility than the positive ...on volatility, one is required to develop functional forms of the expected returns and volatility of return ...
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Modelling Stock Return Volatility in India
... The volatility of BSE stock returns has estimated and modelled two models which is asymmetric nonlinear models EGARCH and TGARCH and news impact ...the volatility in the Indian stock market exhibits the ...
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Volatility and the Euro: an Irish perspective
... greatest conditional volatility is formally examined in Table 6 where some descriptive statistics are ...the conditional volatility for sterling generally reduced during the lifetime of its ...
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Long Memory in Stock Market Volatility:Evidence from India
... modeling volatility. The unconditional volatility models which assume that volatility would be constant are the oldest one found in the ...that volatility cannot be constant as it evolves ...
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Leverage and Volatility Feedback E¤ects and Conditional Dependence Index: A Nonparametric Study
... asymmetric volatility: Volatility responds more to a drop in the value of a stock (index) than an increase of equal amount in the value of the stock (index), two popular hypotheses have been put forward ...
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Analysis of Corporate Bond Yield Spread Based on the Volatility Clustering Effect
... of conditional volatility and impulse information u t-1 ...the volatility cluster characteristics of corporate bond yield because it could reflect the data character ...ON VOLATILITY CLUSTER ...
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Dependence and Value at Risk in the Stock Markets from the Americas: A Copula Approach
... Risk analysis, applying copula theory has also been dealt with in the financial literature. Nguyen and Huynh (2015) present two VaR estimation models for six currencies; each return series is assumed to follow an ARCH ...
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Does inflation has an Impact on Stock Returns and Volatility? Evidence from Nigeria and Ghana
... versa. Volatility breads uncertainty, which impair effective performance of the financial sector as well as the entire economy at ...in volatility today leads to the upward revision of future expected ...
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Modeling exchange volatility in Egypt using GARCH models
... rate volatility: (i) Fat tails ...of volatility; (iii) Leverage effect; (iv) Long memory process; (v) Co-movements in volatility and (vi) Regular ...
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Modelling and forecasting exchange rate of US dollar against Malaysian ringgit using hybrid ARIMA-GARCH and ARIMA-EGARCH models
... called volatility. In the aspect of exchange rate, volatility refers to the measure of fluctuations of ...rate volatility become a major concern as it can give impact on international trade, economic ...
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