This paper focuses on the selection and comparison of alternative non-nested volatility models. We review the traditional in-sample methods commonly applied in the volatility framework, namely diagnostic checking procedures, information criteria, and conditions for the existence of moments and asymptotic theory, as well as the out-of-sample model selection approaches, such as mean squared error...

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...

A new class of fractionally integrated GARCH and EGARCH models for characterizing financial market volatility is discussed. Monte Carlo simulations illustrate the reliability of quasi maximum likelihood estimation methods, standard model selection criteria, and residual-based portmanteau diagnostic tests in this context. New empirical evidence suggests that the apparent long-run dependence in U...

Bu çalışmada, Türkiye’de döviz piyasalarında gözlemlenen aşırı oynaklık Dolar / TL kuru üzerinden analiz edilerek en uygun modeli belirlenmeye çalışılmıştır. Ardından tahmin edilen başarılı model sonucunda elde varyans serisi ile Türkiye Cumhuriyet Merkez Bankası rezerv miktarı arasında anlamlı bir ilişkinin olup olmadığı araştırılmıştır. Ocak 2017 – 2022 tarihleri arası dönemde nominal kurunda...

the price fluctuations of chicken and its production inputs are one of the main challenges in broiler industry which affects the producer and consumer‘s welfare. this study investigates the price fluctuations of broiler and the price fluctuations of the two important inputs of broiler production -e.g. one day-old chick and soybean meal- in tehran province. to achieve the purpose, the non-linear...

This paper studies the effect of COVID-19 on volatility Australian stock returns and negative positive news (shocks) by investigating asymmetric nature shocks leverage impact volatility. We employ a generalised autoregressive conditional heteroskedasticity (GARCH) model extend analysis using exponential GARCH (EGARCH) to capture asymmetry allegedly leverage. proxy related health system its econ...

this paper investigates the nature of volatility characteristics of stock returns in the bangladesh stock markets employing daily all share price index return data of dhaka stock exchange (dse) and chittagong stock exchange (cse) from 02 january 1993 to 27 january 2013 and 01 january 2004 to 20 august 2015 respectively.  furthermore, the study explores the adequate volatility model for the stoc...

Abstract The ınvestment decisions of institutional and individual investors in financial markets are largely influenced by market uncertainty volatility the investment instruments. Thus, prediction volatilities prices returns instruments becomes imperative for successful investment. In this study we seek to identify best fit model that can predict return Bitcoin, which is high demand as an tool...

This paper examines the performance of different kind GARCH models with Gaussian, Student-t and generalized error distribution for Colombo Stock Exchange (CSE), in Sri Lanka. Analyzing daily closing price index CSE from January 02, 2007 to March 10, 2013. It was found that Asymmetric give better result than symmetric model. According distributional assumption these under as well provided fit no...