A new class of fractionally integrated GARCH and EGARCH models for characterizing financial market volatility is discussed. Monte Carlo simulations illustrate the reliability of quasi maximum likelihood estimation methods, standard model selection criteria, and residual-based portmanteau diagnostic tests in this context. New empirical evidence suggests that the apparent long-run dependence in U...

Original scientific paper As the stock market volatility is highly nonlinear, coupling and time varying, it is difficult to predict by the traditional forecasting methods. For explaining the existing problems of the current volatility forecasting method, we use the model based on the weighted least squares support vector regression (WLSSVR) method to predict the stock index volatility in this p...

In this study, we proposed a new model to improve the accuracy of forecasting stock market volatility pattern. The hypothesized was validated empirically using data set collected from Saudi Arabia Exchange (Tadawul). is daily closed price index August 2011 December 2019 with 2027 observations. combines best maximum overlapping discrete wavelet transform (MODWT) function (Bl14) and exponential g...

This paper studies price discovery in Nikkei 225 markets through the nonlinear smooth transition adjustments between spot and future prices across all three futures markets. We test for nonlinearity employ an exponential error correction model (ESTECM) with generalised autoregressive conditional heteroscedasticity (EGARCH), allowing effects of transaction costs, heterogeneity, asymmetry adjustm...

Bu çalışmada, Türkiye’de döviz piyasalarında gözlemlenen aşırı oynaklık Dolar / TL kuru üzerinden analiz edilerek en uygun modeli belirlenmeye çalışılmıştır. Ardından tahmin edilen başarılı model sonucunda elde varyans serisi ile Türkiye Cumhuriyet Merkez Bankası rezerv miktarı arasında anlamlı bir ilişkinin olup olmadığı araştırılmıştır. Ocak 2017 – 2022 tarihleri arası dönemde nominal kurunda...

Bu araştırmanın amacı enerji emtiaları arasında getiri ve volatilite yayılımı olup olmadığını incelemektir. Farklı makroekonomik gelişmeler neticesi varlık fiyatlarında meydana gelen oynaklıkları emtialar yayılım göstererek birbirlerinin getirilerini de etkileyebilmektedir. Enerji emtialarının fiyatlarını etkileyen unsurların aralarındaki yayılımın tespiti özellikle yatırım yapmak isteyenler pi...

Abstract The ınvestment decisions of institutional and individual investors in financial markets are largely influenced by market uncertainty volatility the investment instruments. Thus, prediction volatilities prices returns instruments becomes imperative for successful investment. In this study we seek to identify best fit model that can predict return Bitcoin, which is high demand as an tool...