This article discusses a comparison of the GARCH and EGARCH conditional variance methods, with respect to Fuzzy Gaussian EGARCH. The returns four exchange rates were forecasted at daily periodicity from January 2015 November 2022 out-of-sample, 2019, December 2022. results indicate that models better estimate volatility behaviour market series compared traditional techniques. Therefore, recomme...

The Chinese stock market has been established for more than 20 years. Although it is not as mature as the highly developed western securities markets, it has a huge influence on the global economy. It is significant to study the risks of the Chinese stock market, especially the risk of stock indexes. Affected by the economic globalization today, more and more financial derivatives and financial...

This study employs OLS, GARCH and EGARCH regression models to test the expiration-day effects of index stock futures on market returns, volatility trading volume for Ho Chi Minh Stock Exchange (HOSE). Data used in this is from a daily return series VN30-Index period 10August 2017 through 30 June 2020. The results derived GARCH(1,1) EGARCH(1,1) consistently confirm that Index returns exists HOSE...

Volatility of a stock may incur a risk premium, leading to a positive correlation between volatility and returns. On the other hand the leverage effect, whereby negative returns increase volatility, acts in the opposite direction. We propose a reformulation and extension of the ARCH in Mean model, in which the logarithm of scale is driven by the score of the conditional distribution. This EGARC...

The Bacterial Foraging Optimization (BFO) algorithm is a biologically inspired computation technique which is based on mimicking the foraging behavior of E.coli bacteria. This paper illustrates how a BFO algorithm can be constructed and applied to solve parameter estimation of a EGARCH-M model which is then used for calibration of a volatility option pricing model. The results from the algorith...

We analyze whether the pricing of volatility risk depends on asset framework applied in tests, specified proxies, and portfolio sorts used for spanning universe. For this purpose, we compare results using a macroeconomic fundamental based model three proxies uncertainty, size/value sorted industry sector portfolios. Our reveal that marginal effect VIX factor is strong statistically significant ...