This paper focuses on the selection and comparison of alternative non-nested volatility models. We review the traditional in-sample methods commonly applied in the volatility framework, namely diagnostic checking procedures, information criteria, and conditions for the existence of moments and asymptotic theory, as well as the out-of-sample model selection approaches, such as mean squared error...

Abstract Predicting volatility is a critical activity for taking risk- adjusted decisions in asset trading and allocation. In order to provide effective decision-making support, this paper we investigate the profitability of deep Long Short-Term Memory (LSTM) Neural Network forecasting daily stock market using panel 28 assets representative Dow Jones Industrial Average index combined with facto...

The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models, including GARCH, EGARCH, and GJR models, are used to investigate the relationship between crude oil price and six global fertilizer prices. The empirical result...

Cryptocurrencies are currently traded worldwide, with hundreds of different currencies in existence and even more on the way. This study implements some statistical machine learning approaches for cryptocurrency investments. First, we implement GJR-GARCH over GARCH model to estimate volatility ten popular cryptocurrencies based market capitalization: Bitcoin, Bitcoin Cash, SV, Chainlink, EOS, E...

This paper shows the effects of COVID-19 pandemic on energy markets. We estimate daily volatilities and correlations among commodities relying a mixed-frequency approach that exploits information from number weekly deaths related to in United States. The takes advantage MIxing-Data Sampling (MIDAS) methods. compare our results those obtained by employing two well-known models do not account for...

The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models, including GARCH, EGARCH, and GJR models, are used to investigate the relationship between crude oil price and six global fertilizer prices. The empirical result...