Research on Risk of Stock Index Futures Market Based on EGARCH Model

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Effect of Oil Price Volatility and Petroleum Bloomberg Index on Stock Market Returns of Tehran Stock Exchange Using EGARCH Model

The present research aims to evaluate impacts of crude oil price return index, Bloomberg Petroleum Index and Bloomberg energy index on stock market returns of 121 companies listed in Tehran stock exchange in a 10 years' period from early 2006 to April 2016. First, explanatory variables were aligned with petroleum products index mostly due to application of dollar data. Subsequently, to check va...

متن کامل

The Impact of SGX MSCI Taiwan Index Futures on the Volatility of the Taiwan Stock Market: An EGARCH Approach

This article examines the impact of SGX MSCI Taiwan Index Futures on the volatility of the Taiwan stock market. The empirical work is conducted with the use of weekly stock returns from 1995 to 1998 and by applying an expanded EGARCH model. Our findings show that there is no structural change on either the conditional or the unconditional variance after the introduction of index futures contrac...

متن کامل

mortality forecasting based on lee-carter model

over the past decades a number of approaches have been applied for forecasting mortality. in 1992, a new method for long-run forecast of the level and age pattern of mortality was published by lee and carter. this method was welcomed by many authors so it was extended through a wider class of generalized, parametric and nonlinear model. this model represents one of the most influential recent d...

15 صفحه اول

a study on insurer solvency by panel data model: the case of iranian insurance market

the aim of this thesis is an approach for assessing insurer’s solvency for iranian insurance companies. we use of economic data with both time series and cross-sectional variation, thus by using the panel data model will survey the insurer solvency.

Hedging Effectiveness Stock Index Futures Market: An Analysis on Malaysia and Singapore Futures Markets

This research investigates the hedging effectiveness of stock index futures markets in Malaysia and Singapore by employing various hedge ratio estimation methods, which comprises of the conventional OLS model, VECM, EGARCH and bivariate GARCH. The empirical results indicate that the Kuala Lumpur Futures Index (KLFI) provides higher hedging effectiveness compared to the Straits Times Index (STI)...

متن کامل

ذخیره 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: DEStech Transactions on Economics, Business and Management

سال: 2019

ISSN: 2475-8868

DOI: 10.12783/dtem/emba2019/29379