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Marwa A. Elsherif
Pág. 1209 - 1216
Egypt has passed through different development stages, followed different exchange rate regime at each, ranging from fixed to floating. This study tries to examine empirically how Central Bank of Egypt actions influence exchange rate volatility using GAR...
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Yipeng Yang and Allanus Tsoi
In this paper, a level set analysis is proposed which aims to analyze the S&P 500 return with a certain magnitude. It is found that the process of large jumps/drops of return tend to have negative serial correlation, and volatility clustering phenome...
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Chun-Kai Huang, Knowledge Chinhamu, Chun-Sung Huang, Jahvaid Hammujuddy
South Africa is a cornucopia of mineral riches and the performance of its mining industry has significant impacts on the economy. Hence, an accurate distributional assumption of the underlying mining index returns is imperative for the forecasting and un...
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Leandro Maciel
Pág. 337 - 367
Forecasting stock market returns volatility is a challenging task that has attracted the attention of market practitioners, regulators and academics in recent years. This paper proposes a Fuzzy GJR-GARCH model to forecast the volatility of S&P 500 and Ib...
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Roberto Montenegro
Pág. 125 - 132
There are different methods to measure the volatility regarding clustering in financial series, in which the assumption of the error distribution determines the structure of the log-likelihood function. This paper analyses the flexibility of ARCH models ...
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