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...

Bu çalışmanın temel amacı BRICS ülkelerine ait döviz kuru – borsa arasındaki getiri ve volatilite etkileşimi olup olmadığı araştırmaktır. Çalışmada 04.01.2004 - 29.12.2019 dönemi, haftalık verilerle VAR-EGARCH modeli kullanarak analiz edilmiştir. Sonuç olarak ülkelerinden her bir ülkenin borsası ile arasın olduğu tespit Brezilya arasında çift yönlü gerçekleşirken, Hindistan Çin için tek gerçekl...

This paper investigates the transmission of price and volatility spillovers across the New York, London, Frankfurt and Paris stock markets under the framework of the multivariate EGARCH model. The model is extended to allow dynamic conditional correlations, with the correlations allowed to change with the introduction of the Euro. By using daily closing prices recorded at 16:00 London time (pse...

This paper provides evidence of linkages between the equity market and the index futures market in Australia where the futures market has experienced a major structural event due to the futures contract respecification. An extended bivariate EGARCH model is developed that includes cointegrating residual as an explanatory variable for both the conditional mean and the conditional variance. The c...

Article history: Received October 1, 2011 Received in Revised form November, 14, 2011 Accepted 30 January 2012 Available online 20 February 2012 In this study, the backpropagation neural network (BPNN) is tested for the ability to forecast the daily volatility of two stock market indices from the Middle East and North Africa (MENA) region using volume; namely Morocco and Saudi Arabia. Volatilit...

Purpose The purpose of this study is to assess the extent which Ghana stock market performance has been impacted by novel COVID-19 pandemic. Design/methodology/approach used exponential generalized autoregressive conditional heteroscedasticity (EGARCH) model, using daily time series data from 2 January 2015 13 October 2020. Both pre-estimation (Augmented Dickey-Fuller and Phillips-Perron) post-...

Purpose The purpose of this paper is to compare different models’ performance in modelling and forecasting the Finnish house price returns volatility. Design/methodology/approach competing models are autoregressive moving average (ARMA) model fractional integrated (ARFIMA) for returns. For volatility, exponential generalized conditional heteroscedasticity (EGARCH) with GARCH (FIGARCH) component...