Government Sukuk (SBSN) has been launched since 2008, but it assumed illiquid. Therefore, the Ministry of Finance in 2020 regulates primary dealer for SBSN. At same time, restrictions on mobility due to Covid-19 Pandemic triggered negative sentiment. It increased volatility capital market. Asymmetric occurs when market crash. The purpose this study is identify characteristics government sukuk r...

Electricity markets are considered to be the most volatile amongst commodity markets. The non-storability of electricity and need for instantaneous balancing demand supply can often cause extreme short-lived fluctuations in prices. These termed price spikes. In this paper, we employ a multiclass Support Vector Machine (SVM) model forecast occurrence spikes German intraday market. As spikes, def...

UNLABELLED The objective of this paper is to verify the hypotheses presented in the literature on the causal relationship between inflation and its uncertainty, for the newest EU countries. To ensure the robustness of the results, in the study four models for inflation uncertainty are estimated in parallel: ARCH (1), GARCH (1,1), EGARCH (1,1,1) and PARCH (1,1,1). The Granger method is used to t...

In this work, we study the famous model of volatility; called conditional heteroscedastic autoregressive with mixed memory MMGARCH for modeling nonlinear time series. The has two mixing components, one is a GARCH short and other long memory. main objective search finds best between mixtures models made (long memory, memory) Also, existence its stationary solution discussed. Monte Carlo experime...

This paper investigates the impact of currency substitution on exchange rate volatility using monthly data from January 1990 to May 2019. The applies exponential generalized autoregressive conditional heteroscedastic in mean (EGARCH-M) model as estimation technique. results reveal that has a significant positive volatility. also confirms existence leverage effects It is revealed negative shocks...

inflation has always been an economic problem and different solutions have been proposed to control it. although it is said that “higher output lowers inflation rate” but it is true when other factors are constant. this study searches the answer to the following question: “what is the effect of inflation rate and output in a case that inflation rate and output growth has a volatility trend?” to...

With this study, we aim to determine the effect of Covid-19 pandemic on return volatility DJI, DAX, FTSE100 and CAC40 stock indexes. We take between 1st January 2019 17th July 2020 split it into two separate periods - before outbreak first wave ‘In-Pandemic’ period. Only so-called was chosen avoid influence knowledge possible vaccines antiviral solutions. Data were analysed by using exponential...

The asymmetry of stock market volatility has existed for a long time. Most the early scholars’ research on this phenomenon is based assumption efficient market. In recent years, with development and deepening behavioral finance theory, psychological factors have been added to process as an important variable better explain volatility. Therefore, basis analysis, paper uses basic theories overcon...

This paper examines the hedging ability of gold, silver, and Bitcoin against inflation in ASEAN countries. The inclusion as a hedge is relatively new literature effect has been exacerbated post Global Financial Crisis, when prices precious metals have increased continuously. To serve that objective, student-t EGARCH (1,1) model first used to study relationship between average asset return next ...