The present study aims at applying different methods i.e GARCH, EGARCH, GJRGARCH, IGARCH & ANN models for calculating the volatilities of Indian stock markets. Fourteen years of data of BSE Sensex & NSE Nifty are used to calculate the volatilities. The performance of data exhibits that, there is no difference in the volatilities of Sensex, & Nifty estimated under the GARCH, EGARCH, GJR GARCH, I...

the research problem investigated in this paper is modeling volatility and analyzing risk and return’s relationship in tehran stock exchange using garch-family models including garch(1,1), garch(2,2), egarch(1,1), pgarch(1,1), tgarch(1,1), garch(1,1)-m and cgarch(1,1). using the daily returns of tehran stock exchange companies, we focused on two portfolios of all the companies during a 10-year-...

With the increase of wind power as a renewable energy source in many countries, wind speed forecasting has become more and more important to the planning of wind speed plants, the scheduling of dispatchable generation and tariffs in the day-ahead electricity market, and the operation of power systems. However, the uncertainty of wind speed makes troubles in them. For this reason, a wind speed f...

Over the past years, cryptocurrencies have drawn substantial attention from media while attracting many investors. Since then, cryptocurrency prices experienced high fluctuations. In this paper, we forecast high-frequency 1 min volatility of four widely traded cryptocurrencies, i.e., Bitcoin, Ethereum, Litecoin, and Ripple, by modeling to select best model. We propose various generalized autore...

30 Ocak 2020'de Covid-19, Dünya Sağlık Örgütü tarafından küresel bir sağlık acil durumu ilan edilmiştir. Bu durum hayatın birçok alanında değişikliklere neden olmuştur. Piyasa etkinliğine uygun olmayan, farklılık gösteren sapmalar genel olarak anomali adlandırılmaktadır. Çeşitli anomalilerin varlığı etkin piyasalar hipotezinden olabileceğini göstermektedir. çalışmada finansal yatırım araçlarınd...