Based on the review of ARCH/GARCH models, this paper uses GARCH model to empirically study stock market volatility Shenzhen Composite Index, GARCH-M analyze risk premium, and EGARCH asymmetry volatility.The results show that can eliminate heteroscedastic property residuals, has a strong impact, return premium is not significant, caused by bad news in much larger than same size good news, there ...

The study examines the ability of three volatility-forecasting models to estimate the term structure of implied volatilities. The tests are performed on equity Warrants listed on the JSE with the three measures being the Generalized Autoregressive Conditional Heteroscedicity (GARCH), the exponential GARCH (EGARCH) and the Exponentially Weighted Moving Average (EWMA). The Black-Scholes implied v...

Financial time series forecast has been classified as standard problem in forecasting due to its high non-linearity and high volatility in data. Statistical methods such as GARCH, GJR, EGARCH and Artificial Neural Networks (ANNs) based on standard learning algorithms such as backpropagation have been widely used for forecasting time series volatility of various fields. In this paper, we propose...

The aim of this paper is to empirically investigate the in sample and out of sample forecasting performance of several GARCH-type models such as GARCH, EGARCH and APARCH model with Gaussian, student-t, Generalized error distribution (GED), student-t with fixed DOF 10 and GED with fixed parameter 1.5 distributional assumption in case of Colombo Stock Exchange (CSE), Sri Lanka. The daily All Shar...

In this paper we re-examine the question of the excessive implied persistence of volatility estimates when GARCH-type models are used. We consider ten actively traded US stocks and we con rm the already established result in the literature that, when volume traded is inserted in the GARCH(1,1) or EGARCH(1,1) models for returns, the estimated persistence decreases. Since we feel that volume is a...

This study investigates the time series beaviour of daily stock returns of four firms listed in the Nigerian StockMarket from 2nd January, 2002 to 31st December, 2006, using three different models of heteroscedastic processes, namely: GARCH (1,1), EGARCH (1,1) and GJR-GARCHmodels respectively. The four firms whose share prices were used in this analysis are UBA, Unilever, Guiness and Mobil. All...

Bu çalışmada Covid-19 pandemi sürecinin Türkiye’ de seçilen bazı ekonomik değişkenlerin oynaklıkları üzerindeki etkileri vektör otoregresyon (VAR) modeli ile incelenmiştir. amaçla 2020:03-2022:08 dönemi için BIST100 fiyat endeksi, döviz kuru, ham petrol ölüm ve vaka sayıları kullanılmıştır. Ekonomik GARCH türü modellerin koşullu değişen varyansları elde edilmiştir. endeksi ARMA(1,1)-EGARCH(1,1)...