The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, the autoregressive distributed lag (ARDL) model, and alternative volatility models, including the generalized autoregressive conditional heteroskedasticity (GARCH) model, Exponential GARCH (EGARCH) model, an...

The performance of anARCHmodel selection algorithm based on the standardized prediction error criterion (SPEC) is evaluated. The evaluation of the algorithm is performed by comparing different volatility forecasts in option pricing through the simulation of an options market. Traders employing the SPEC model selection algorithm use the model with the lowest sum of squared standardized one-step-...

Volatility in financial markets reflects the level of risk that will be faced by investors due to fluctuations stock price movements and returns which indicate uncertainty receive. This study uses daily data on JCI for period January 1 2017 October 30 2021 with aim modeling volatility both before Covid-19 crisis during Covid-19. In addition, it is intended see changes crisis. The research findi...

Many prominent continuous-time stochastic volatility models exhibit certain functional relationships between price jumps and volatility jumps. We show that stochastic volatility models like the Ornstein-Uhlenbeck and other continous-time CARMA models as well as continous-time GARCH and EGARCH models all exhibit such functional relations. We investigate the asymptotic behaviour of certain functi...

The present research aims to evaluate impacts of crude oil price return index, Bloomberg Petroleum Index and Bloomberg energy index on stock market returns of 121 companies listed in Tehran stock exchange in a 10 years' period from early 2006 to April 2016. First, explanatory variables were aligned with petroleum products index mostly due to application of dollar data. Subsequently, to check va...

This research article aimed at modeling the variations in the dollar/cedi exchange rate. It examines the applicability of a range of ARCH/GARCH specifications for modeling volatility of the series. The variants considered include the ARMA, GARCH, IGARCH, EGARCH and M-GARCH specifications. The results show that the series was non stationary which resulted from the presence of a unit root in it. ...