in this paper, we investigate variations of gold coin price and also probe to model the fluctuations and conditional variance of coin market returns. the data consist of daily market prices of gold coin over the 1380 – 1386 period. since volatility clustering is viewed in time series of returns, we employ arch (autoregressive conditional heteroskedasticity) methodology in order to model the var...

The development process in financial markets give rise to the emergence of various instruments and cryptocurrencies, which are newest tools this process, trying integrate into system. Even though use crypto-currencies for investment speculation has increased, limited information on market leads high level volatility price return. Therefore, study aims analyze dynamics returns Bitcoin, is crypto...

We propose the EGARCH-MIDAS-CPU model, which incorporates leverage effect and climate policy uncertainty (CPU) to model forecast European Union allowance futures’ (EUAF) volatility. An empirical analysis based on daily data of EUAF price index monthly CPU using shows that EUAF’s volatility exhibits a effect, has significantly negative impact Furthermore, out-of-sample three loss functions Model...

This paper examines the performance of different kind GARCH models with Gaussian, Student-t and generalized error distribution for Colombo Stock Exchange (CSE), in Sri Lanka. Analyzing daily closing price index CSE from January 02, 2007 to March 10, 2013. It was found that Asymmetric give better result than symmetric model. According distributional assumption these under as well provided fit no...

This article discusses a comparison of the GARCH and EGARCH conditional variance methods, with respect to Fuzzy Gaussian EGARCH. The returns four exchange rates were forecasted at daily periodicity from January 2015 November 2022 out-of-sample, 2019, December 2022. results indicate that models better estimate volatility behaviour market series compared traditional techniques. Therefore, recomme...

The strong consistency and asymptotic normality of the Whittle estimate of the parameters in a class of exponential volatility processes are established. Among many models of interest, this class includes one-shock models, such as the EGARCH model of Nelson (1991), and two-shock models, such as the SV model of Taylor (1986). The variable of interest might not have finite fractional moment of an...

This study employs OLS, GARCH and EGARCH regression models to test the expiration-day effects of index stock futures on market returns, volatility trading volume for Ho Chi Minh Stock Exchange (HOSE). Data used in this is from a daily return series VN30-Index period 10August 2017 through 30 June 2020. The results derived GARCH(1,1) EGARCH(1,1) consistently confirm that Index returns exists HOSE...