Meteorological variables are not constant but shows some regular variations. This is also true for temperature during day and night time. Asymmetric variations also observed due to seasonality or other causes. In particular, for a long term observed temperature data, the correlation between conditional volatility and unexpected temperature behaviour is negative in winter and positive in summer....

In this paper, we demonstrate that most of Tokyo stock return data sets have volatility persistence and it is due to a parameter change in underlying GARCH models. For testing for a parameter change, we use the cusum test, devised by Lee et al. (2003), based on the residuals from GARCH models. A simulation study shows that a parameter change in GARCH models can mislead analysts to choose an IGA...

This paper examines the presence of day of the week effect anomaly in Dhaka Stock Exchange (DSE). Several hypotheses have been formulated; dummy variable regression and the GARCH (1, 1) model were used in the study. The result indicates that Sunday and Monday returns are negative and only positive returns on Thursdays are statistically significant. Result also reveals that the mean daily return...

The main purpose of this paper is to verify the effectiveness of the bivariate Component GARCH-in-mean (GARCHM) model and analyze the interactions and risk premium of equity markets by exploring the shortand long-run volatility components on both the Taiwanese and Japanese equity markets. We show that unexpected shocks of volatility will in general influence the fluctuations of both equity and ...

We present a new approach to generalised autoregressive conditional het-eroscedasitic (GARCH) modelling for asset returns. Instead of attempting to choose a speciic distribution for the errors, as in the usual GARCH model formulation, we use a nonparametric distribution to estimate these errors. This takes into account the common problems encountered in nancial time series, for example, asymmet...

This paper evaluates the out-of-sample forecasting accuracy of eleven models for monthly volatility in fifteen stock markets. Volatility is defined as within-month standard deviation of continuously compounded daily returns on the stock market index of each country for the ten-year period 1988 to 1997. The first half of the sample is retained for the estimation of parameters while the second ha...

This paper investigates the relationship between inflation and inflation uncertainty for the period of 1990-2009 by using monthly data in the Iranian economy. The results of a two-step procedure such as Granger causality test which uses generated variables from the first stage as regressors in the second stage, suggests a positive relation between the mean and the variance of inflation. However...

The paper investigates whether there are periods when platinum prices follow the random walk process (weak-form efficient) and periods when they deviate from the random walk theory (mean reversion). Monthly log returns of platinum prices are examined using the Augmented Dickey-Fuller test (ADF) and a GARCH model with time-varying properties. A GARCH model with time-varying properties is able to...