In the last five decades, Box Jenkins methodology has been in existence to model univariate time series data but fails or limitations on modeling volatility. Most financial do exhibit heavy tail and thick distribution, this effect various parametric semi-parametric non –linear models have proposed two three decades ago capture However, research entails measuring volatility its forecasting using...

The aim of this study is to investigate the volatility movements in natural gas returns, which one financial investment instruments futures markets, before and after Covid-19 pandemic, using GARCH family models. For purpose, daily data from 30.08.2017 10.03.2020 Pandemic, 11.03.2020 21.09.2021 Pandemic were used. return on was expressed as RLNPO RLNPS. RLNPO, TGARCH determined most suitable mod...

We employ recent data from 59 international emerging and mature stock markets to provide new evidence of a lunar cycle (full and new moon) effect on their stock market returns. Using a TGARCH model, we further examine the linkages between efficient-market theory, calendar-related effects and investors' mood resulted from moon phases. The empirical results show significant full moon effects in 6...

Este trabajo tiene como objetivo la modelización de volatilidad los precios acciones del sector bancario e industrial Sudamérica, México y Estados Unidos en el contexto pandemia COVID-19. Para ello, se estiman modelos TGARCH (1,1) EGARCH (1,1). Estos empíricos son ventajosos, porque permiten una respuesta asimétrica varianza condicionada función signo residuos. Es un elemento crucial para diseñ...

This study attempts to identify the existence of asymmetric volatility in Islamic capital market Indonesia during Covid-19 pandemic. The paper employs symmetric analysis GARCH (1,1) model and TGARCH order behaviour duringthe first 200 days after cases were confirmed. We used daily closing prices Sharia Stock Index (ISSI). revealed that current value return on ISSI does not have a significant im...