Recent studies show that a negative shock in stock prices will generate more volatility than a positive shock of similar magnitude. The aim of this paper is to appraise the hypothesis under which the conditional mean and the conditional variance of stock returns are asymmetric functions of past information. We compare the results for the Portuguese Stock Market Index PSI 20 with six other Stock...

In this article, we analyze the short term real interest rate series for the last five decades in the framework of a M-SETAR model (Momentum Self Exciting Threshold Auto-Regressive). With the aim of disentangling the non-linearity from the non-stationarity cases, we use threshold integration tests against a stationary but non-linear alternative hypothesis. One innovation consists in the introdu...

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-...

Value at Risk (VaR) is a widely used measure of market risk. Precision in the estimation volatility leads to accurate VaR forecasts. As time-varying and has clustering effect, GARCH class models helpful modeling more precisely. Studies have also shown that range-based estimates are efficient than traditional use only closing prices. Therefore, this study uses family model forecast VaR. The comp...

There has recently been an increasing number of new investors in the Brazilian stock markets, providing asset allocation opportunities as well challenges terms individual judgment and decision-making. The departure point this paper is conjecture that Ibovespa (Brazilian exchange index) might reveal asymmetric volatility patterns during January 2019 to February 2021 period call for behavioral fi...

The progressive geometric changes that occur in swelling of corn starch granules during heating throughout the range of gelatinization (63-72°C) and at higher temperatures when substantial amount s o f soluble starch are released from the granule were observed by scanning electron micro s copy (SEM). Corn starch granules beg in to swell radially, then undergo radial contraction and random tange...

Bu çal??man?n konusunu, pay senedi endeksleri ile bu endekslerin dayanak varl?k oldu?u vadeli i?lemler aras?ndaki volatilite ili?kisinin analizi olu?turmaktad?r. çal??ma, spot endeksler endeks yönünü tespit etmeyi amaçlamaktad?r. temel amac?, Türkiye örne?inde yüksek i?lem hacmi göz önünde bulundurularak BIST 30 endeksi ve i?lemleri ekonometrik yöntemlerle incelenmesi, elde edilen verilerin Dün...