This study examines the effect of international listing on the conditional return distribution of Australian stocks in the domestic market. We conduct an intervention analysis in an EGARCH framework to measure any shift in the parameters describing the daily return generating process. All fifteen stocks that were listed on the major U.S. exchanges (NYSE and NASDAQ) as American Depositary Receip...

The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor’s, Moody’s, and Fitch) is investigated using a panel of daily stock market and sovereign bond returns. The parametric volatilities are defined using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility, but downgrades increase stock ...

Many finance questions require the predictive distribution of returns. We propose a bivariate model of returns and realized volatility (RV), and explore which features of that time-series model contribute to superior density forecasts over horizons of 1 to 60 days out of sample. This term structure of density forecasts is used to investigate the importance of: the intraday information embodied ...

Atmospheric carbon dioxide concentration (ACDC) is a crucial variable for many environmental simulation models, and is regarded as an important factor for predicting temperature and climate changes. However, the conditional variance of ACDC levels has not previously been examined. This paper analyses the trends and volatility in ACDC levels using monthly data from January 1965 to December 2002....

ÖZ
 Bu çalışmanın temel amacı BRICS ve MIST ülkelerine ait borsalar arasındaki getiri volatilite etkileşimi araştırmaktır. Çalışmada 04.01.2004 ile 29.12.2019 dönemine haftalık verileriyle VAR-EGARCH modeli kullanarak araştırma gerçekleştirilmiştir. Genel olarak ülkelerinin borsaları arasında olduğu tespit edilmiştir. Elde edilen bir diğer sonuç ise Çin, Güney Afrika Türkiye borsalarının a...

Volatility Indices are an important indicator for investors to accurately predict returns and risks in case of uncertainty the markets. In this study, effects gold, silver, oil volatility indices (GVI, SVI OVI) on both spot futures assets were investigated using VAR-EGARCH procedure. The findings study reveal that GVI gold prices have a positive effect prices. At same time, it has been determin...

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 purpose of this study is to investigate the impacts calendar anomalies specifically on day week effect (DOW) 10 Islamic stock markets’ returns such as Dow Jones Market (DJIM), Saudi Arabia, Malaysia, United Arab Emirates (UAE), Kuwait, Qatar, Turkey, Indonesia, Bahrain, Pakistan—for 20 years from 25 September 2000 24 2020. methods using Generalized AutoRegressive Conditional Heteroskedastic...

Bu çalışmada dünyanın en büyük borsaları arasında yer alan Borsa İstanbul, Rusya Menkul Kıymetler Borsası, Brezilya Tokyo Almanya Amerika Birleşik Devletleri New York Borsası ve Kore Borssının volatilitelerinde getirilerinde COVID-19’un etkili olup olmadığı tespit edilmek istenmiştir. amaçla 02.01.2017 ile 17.09.2021 tarihleri arasındaki günlük veriler kullanılarak EGARCH(1,1) modeliyle analizl...