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Mosab I. Tabash, Neenu Chalissery, T. Mohamed Nishad and Mujeeb Saif Mohsen Al-Absy
Market turbulences and their impact on the financial market, particularly on the stock market, is a financial topic that has received significant research attention recently. This study compared the characteristics of stock return and volatility in selec...
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Haika Andrew Mbwambo, Laban Gaspe Letema
Pág. 204 - 211
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Benjamin Mudiangombe Mudiangombe and John Weirstrass Muteba Mwamba
This paper examines the effects of the Standard and Poor?s 500 (SP500) stock index crash during the global financial crisis and the COVID-19 pandemic periods on the South African top sector indices (basic materials, consumer goods, consumer services, fin...
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Shahid Raza, Sun Baiqing, Pwint Kay-Khine and Muhammad Ali Kemal
The stock markets in developing countries are highly responsive to breaking news and events. Our research explores the impact of economic conditions, financial policies, and politics on the KSE-100 index through daily market news signals. Utilizing simpl...
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Yaovarate Chaovanapoonphol, Jittima Singvejsakul and Aree Wiboonpongse
Price volatility is a significant risk factor affecting the income of farmers in the agriculture sector, especially for international trade in products such as coffee in Thailand. This study proposes an alternative model to analyze the major factors in t...
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Apostolos Ampountolas
Over the past years, cryptocurrencies have drawn substantial attention from the media while attracting many investors. Since then, cryptocurrency prices have experienced high fluctuations. In this paper, we forecast the high-frequency 1 min volatility of...
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Pág. 1 - 33
Modeling and forecasting volatility have gained much interest among researchers as the use of volatility became widespread in financial data analysis. Several studies have been carried out to model stock market volatility in various countries. This paper...
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Yuruixian Zhang, Wei Chong Choo, Jen Sim Ho and Cheong Kin Wan
Tourism forecasting has garnered considerable interest. However, integrating tourism forecasting with volatility is significantly less typical. This study investigates the performance of both the single models and their combinations for forecasting the v...
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Anh Thi Kim Nguyen, Loc Dong Truong and H. Swint Friday
This study employs OLS, GARCH and EGARCH regression models to test the expiration-day effects of index stock futures on market returns, volatility and trading volume for the Ho Chi Minh Stock Exchange (HOSE). Data used in this study is from a daily retur...
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Joel Hinaunye Eita and Charles Raoul Tchuinkam Djemo
This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign exchange rates and equity indices of the Johannesburg Stock Exchange (JSE) and to model the dependence structure of the underlying assets wit...
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