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Inter-Linkages Between Asian and U.S. Stock Market Returns: A Multivariate GARCH Analysis
This chapter investigates inter-linkages of the Asian stock markets, viz. China, Hong Kong, India, Japan and Singapore with the U.S. stock market....
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Comparison of Value at Risk (VaR) Multivariate Forecast Models
We investigate the performance of VaR (Value at Risk) forecasts, considering different multivariate models: HS (Historical Simulation), DCC-GARCH...
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Examining the spillover effects of volatile oil prices on Iran’s stock market using wavelet-based multivariate GARCH model
Fluctuations in the oil market can significantly influence various sectors of the economy, such as the stock markets of countries that rely heavily...
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LSTM–GARCH Hybrid Model for the Prediction of Volatility in Cryptocurrency Portfolios
In the present work, the volatility of the leading cryptocurrencies is predicted through generalised autoregressive conditional heteroskedasticity...
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Pricing Fade-in Options Under GARCH-Jump Processes
In this paper, we investigate fade-in options under GARCH-jump processes. Specifically, we adopt NIG distributions to capture jump risk, and both...
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Long-Memory, Asymmetry and Fat-Tailed GARCH Models in Value-at-Risk Estimation: Empirical Evidence from the Global Real Estate Markets
In this paper, we address the question of whether long memory, asymmetry, and fat-tails in global real estate markets volatility matter when...
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Inflation, output growth and their uncertainties: some multivariate GARCH-M evidence for Nigeria
The study applies a BEKK GARCH-M model to examine the effect of uncertainty on the levels of inflation and output growth in Nigeria. The results...
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Multivariate models of commodity futures markets: a dynamic copula approach
We apply flexible multivariate dynamic models to capture the dependence structure of various US commodity futures across different sectors between...
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Improving Quantile Forecasts via Realized Double Hysteretic GARCH Model in Stock Markets
This research introduces a realized double hysteretic GARCH (R-dhGARCH) model with a skew Student’s t distribution designed to improve quantile...
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ARMA–GARCH model with fractional generalized hyperbolic innovations
In this study, a multivariate ARMA–GARCH model with fractional generalized hyperbolic innovations exhibiting fat-tail, volatility clustering, and...
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Dynamic volatility among fossil energy, clean energy and major assets: evidence from the novel DCC-GARCH
The objective of this paper is to assess the dynamic volatility connectedness between fossil energy, clean energy, and major assets i.e., Bonds,...
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Multivariate Generalized Autoregressive Conditional Heteroscedasticity Modeling of the Relationship Between Major Economic Indicators in Ethiopia
We model the relationship between major economic indicators in Ethiopia. We obtained 28 years of data from the National Bank of Ethiopia (NBE) for...
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Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis
Research on the exchange rate volatility and dynamic conditional correlation of African currencies/financial markets interdependence appears to be...
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Bayesian Analysis of Realized Matrix-Exponential GARCH Models
This study develops a new realized matrix-exponential GARCH (MEGARCH) model, which uses the information of returns and realized measure of...
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Volatility contagion between cryptocurrencies, gold and stock markets pre-and-during COVID-19: evidence using DCC-GARCH and cascade-correlation network
The rapid rise of Bitcoin and its increasing global adoption has raised concerns about its impact on traditional markets, particularly in periods of...
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Exploring Three-style Return Comovements and Contagion Using a Correlation Decomposition GARCH Model
Two types of contagion are evidenced using the proposed correlation decomposition GARCH model. The first comovement-driven contagion possesses both...
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ARCH, GARCH, and Time-Varying Variance
Given that risk (unpredictable ups and downs) and return are fundamental to finance, it is natural that financial econometricians would begin trying...
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Evaluating Density Forecasts Using Weighted Multivariate Scores in a Risk Management Context
Scoring rules are commonly applied to assess the accuracy of density forecasts in both univariate and multivariate settings. In a financial risk...
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Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis
This study investigates the dynamic mechanism of financial markets on volatility spillovers across eight major cryptocurrency returns, namely...
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Forecasting India’s Inflation in a Data-Rich Environment: A FAVAR Study
The study develops a multivariate Factor-Augmented VAR (FAVAR) model of inflation for India to forecast India’s inflation. The analysis covers both...