Market volatility modeling for short time window
نویسندگان
چکیده
منابع مشابه
Modeling Volatility Spillovers in Iran Capital Market
This paper investigates the conditional correlations and volatility spillovers between the dollar exchange rate return, gold coin return and crude oil return to stock index return. Monthly returns in the 144 observations (2005 - 2017) are analyzed by constant conditional correlation, dynamic conditional correlation, VARMA-GARCH and VARMA-AGARCH models. So this paper presents interdependences in...
متن کاملmodeling asymmetric price volatility for tehran province’s chicken market
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...
متن کاملModeling long memory in stock market volatility
Inspired by the idea that regime switching may give rise to persistence that is observationally equivalent to a unit root, we derive a regime switching process that exhibits long memory. The feature of the process that generates long memory is a heavytailed duration distribution. Using this process for volatility, we obtain a regime switching stochastic volatility (RSSV) model that we "t to dai...
متن کاملPractical Volatility and Correlation Modeling for Financial Market Risk Management
What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in financial econometrics, which are likely to produce more accurate assessments of market risk. Clearly, th...
متن کاملInvestigating the Asymmetry in Volatility for the Iranian Stock Market
This paper investigates the asymmetry in volatility of returns for the Iranian stock market using the daily closing values of the Tehran exchange price index (TEPIX) covering the period from March 25, 2001 to July 25, 2012, with a total of 2743 observations. To this end, two sets of tests have been employed: the first set is based on the residuals derived from a symmetric GARCH (1,1) model. The...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2011
ISSN: 0378-4371
DOI: 10.1016/j.physa.2011.04.031