The study has two aims. The first aim is to propose a family of nonlinear GARCH models that incorporate fractional integration and asymmetric power properties to MS-GARCH processes. The second purpose of the study is to augment the MS-GARCH type models with artificial neural networks to benefit from the universal approximation properties to achieve improved forecasting accuracy. Therefore, the ...

The paper develops two Dynamic Conditional Correlation (DCC) models, namely the Wishart DCC (WDCC) model and the Matrix-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models to propose asymmetric DCC models. We use the standardized multivariate t-distribution to accommodate heavy-tailed errors. The paper presents a...

Although quasi maximum likelihood estimator based on Gaussian density (G-QMLE) is widely used to estimate GARCH-type models, it does not perform successfully when error distribution is either skewed or leptokurtic. This paper proposes normal mixture quasi-maximum likelihood estimator (NMQMLE) for non-stationary TGARCH(1, 1) models. We show that, under mild regular conditions, there is no consis...

This study provides evidence of the impact COVID-19 on five (5) Nigerian Stock Exchange (NSE) sectorial stocks (NSE Insurance, NSE Banking, Oil and Gas, Food Beverages, Consumer Goods). To achieve goal this paper, daily stock prices were obtained from a secondary source ranging 2 January 2020 to 25 March 2021. Because importance incorporating structural breaks in modelling returns, Zivot–Andrew...

When using trees to price options, the standard practice is to increase the number of partitions per day, n, to improve accuracy. But increasing n incurs computational overhead. In fact, raising n makes the popular Ritchken-Trevor tree under non-linear GARCH (NGARCH) grow exponentially when n exceeds a typically small threshold. Worse, when this happens, the tree cannot grow beyond a certain ma...

Prediction of the economy in global markets is crucial importance for individuals, decisionmakers, and policies. To this end, effectiveness modeling forecasting directions such leading indicators importance. For purpose, we analyzed Baltic Dry Index (BDI), Investor Sentiment (VIX), Global Stock Market Indicator (MSCI) their distributional characteristics to proposed econometric methods. Among t...

This paper examines the forecasting performance of four GARCH(1,1) models (GARCH, EGARCH, GJR and APARCH) used with three distributions (Normal, Student-t and Skewed Student-t). We explore and compare different possible sources of forecasts improvements: asymmetry in the conditional variance, fat-tailed distributions and skewed distributions. Two major European stock indices (FTSE 100 and DAX 3...