Advanced search
Publication Cover
Applied Financial Economics Volume 18, 2008 - Issue 15
Submit an article Journal homepage
5,256
Views
132
CrossRef citations to date
0
Altmetric
Original Articles

Estimating stock market volatility using asymmetric GARCH models

Dima Alberg Department of Economics, Ben-Gurion University of the Negev, Beer Sheva, 84105 Israel
,
Haim Shalit Department of Economics, Ben-Gurion University of the Negev, Beer Sheva, 84105 IsraelCorrespondence[email protected]
&
Rami Yosef Department of Business Administration, Ben-Gurion University of the Negev, Beer Sheva, 84105 Israel
Pages 1201-1208 | Published online: 21 Jul 2008

Citations (132)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (9)

Lithin B M, Suman Chakraborty, Vishwanathan Iyer, Nikhil M N & Sanket Ledwani. (2023) Modelling asymmetric sovereign bond yield volatility with univariate GARCH models: Evidence from India. Cogent Economics & Finance 11:1.
Read now
Elena Valentina Ţilică. (2023) Crisis transmission channel for 17 East-European countries during the Global Financial Crisis. Eastern European Economics 61:4, pages 318-352.
Read now
P. Mantalos, A. Karagrigoriou, L. Střelec, P. Jordanova, P. Hermann, J. Kiseľák, J. Hudák & M. Stehlík. (2020) On improved volatility modelling by fitting skewness in ARCH models. Journal of Applied Statistics 47:6, pages 1031-1063.
Read now
Lorraine Rupande, Hilary Tinotenda Muguto & Paul-Francois Muzindutsi. (2019) Investor sentiment and stock return volatility: Evidence from the Johannesburg Stock Exchange. Cogent Economics & Finance 7:1.
Read now
Rajibur Reza, Gurudeo Anand Tularam & Bin Li. (2018) Returns and volatility of water investments. Cogent Economics & Finance 6:1.
Read now
Huiming Zhu, Yueli Tang & Peng Guo. (2017) Asymmetric spillover effects between the Shanghai and Hong Kong stock markets: evidence from quantile lagged regression. Applied Economics 49:9, pages 886-902.
Read now
Yuanyuan Zhang & Taufiq Choudhry. (2015) Forecasting the daily dynamic hedge ratios by GARCH models: evidence from the agricultural futures markets. The European Journal of Finance 21:4, pages 376-399.
Read now
Jui-Jane Chang & Szu-Lang Liao. (2010) Warrant introduction effects on stock return processes. Applied Financial Economics 20:17, pages 1377-1395.
Read now
Leonardo Becchetti & Rocco Ciciretti. (2009) Corporate social responsibility and stock market performance. Applied Financial Economics 19:16, pages 1283-1293.
Read now

Articles from other publishers (123)

Yaman Kındap & Simon Godsill. (2023) Point process simulation of generalised hyperbolic Lévy processes. Statistics and Computing 34:1.
Crossref
Elroi Hadad & Haim Kedar-Levy. (2024) The impact of retail investor sentiment on the conditional volatility of stocks and bonds: Evidence from the Tel-Aviv stock exchange. International Review of Economics & Finance 89, pages 1303-1313.
Crossref
Zisheng Ouyang, Min Lu & Yongzeng Lai. (2023) Forecasting stock index return and volatility based on GAVMD- Carbon-BiLSTM: How important is carbon emission trading?. Energy Economics 128, pages 107134.
Crossref
Konstantinos Petridis, Nikolaos E. Petridis, Fouad Ben Abdelaziz & Hatem Masri. (2022) Ranking econometric techniques using geometrical Benefit of Doubt. Annals of Operations Research 330:1-2, pages 411-430.
Crossref
Shanghui Jia, Xinhui Chen, Liyan Han & Jiayu Jin. (2023) Global climate change and commodity markets: A hedging perspective. Journal of Futures Markets 43:10, pages 1393-1422.
Crossref
Fei Gao, Jiangshe Zhang, Chunxia Zhang, Shuang Xu & Cong Ma. (2022) Long Short-Term Memory Networks with Multiple Variables for Stock Market Prediction. Neural Processing Letters 55:4, pages 4211-4229.
Crossref
Noorshanaaz Khodabaccus & Aslam A. E. F. Saib. (2023) volatilityforecastingpackage: A Financial Volatility Package in Mathematica. Computational Economics.
Crossref
Sachin Kashyap. (2022) Review on volatility and return analysis including emerging developments: evidence from stock market empirics. Journal of Modelling in Management 18:3, pages 756-816.
Crossref
Kofi Agyarko, Nana Kena Frempong & Eric Neebo Wiah. (2023) Hybrid Model for Stock Market Volatility. Journal of Probability and Statistics 2023, pages 1-10.
Crossref
Li Zhang, Lu Wang, Lijuan Peng & Keyu Luo. (2023) Measuring the response of clean energy stock price volatility to extreme shocks. Renewable Energy 206, pages 1289-1300.
Crossref
Selma Öner & Hakan Öner. (2023) Symmetric and asymmetric volatility: Forecasting the Borsa Istanbul 100 index return volatility. Financial Internet Quarterly 19:1, pages 48-56.
Crossref
Nektarios Gavrilakis & Christos Floros. 2023. Reference Module in Social Sciences. Reference Module in Social Sciences.
Sarbjit Singh, Kulwinder Singh Parmar & Jatinder Kaur. 2023. Handbook of Hydroinformatics. Handbook of Hydroinformatics 207 220 .
Adrià Pons, Eduard Cristobal-Fransi, Carla Vintrò, Josep Rius, Oriol Querol & Jordi Vilaplana. (2021) An Application of the IFM Method for the Risk Assessment of Financial Instruments. Computational Economics 61:1, pages 295-315.
Crossref
Nataliya Boyko. 2023. Lecture Notes in Data Engineering, Computational Intelligence, and Decision Making. Lecture Notes in Data Engineering, Computational Intelligence, and Decision Making 126 147 .
Aykut Ekinci. (2022) Relationship Between Output Volatility and Output in OECD Countries Revisited. Prague Economic Papers 31:6, pages 509-537.
Crossref
Neenu Chalissery, Mosab I. Tabash, Mohamed Nishad T. & Maha Rahrouh. (2022) Modeling asymmetric volatility of financial assets using univariate GARCH models: An Indian perspective. Investment Management and Financial Innovations 19:4, pages 244-259.
Crossref
Manu K. S. & A. Shivakanth Shetty. (2022) Impact of COVID-19 on the Performance of Indian Stock Market: An Empirical Analysis. Jindal Journal of Business Research 11:2, pages 175-186.
Crossref
Mohamed A. K. Basuony, Mohammed Bouaddi, Heba Ali & Rehab EmadEldeen. (2021) The effect of COVID ‐19 pandemic on global stock markets: Return, volatility, and bad state probability dynamics . Journal of Public Affairs 22:S1.
Crossref
Ananda Chatterjee, Hrisav Bhowmick & Jaydip Sen. (2022) Stock Volatility Prediction using Time Series and Deep Learning Approach. Stock Volatility Prediction using Time Series and Deep Learning Approach.
Lalitha R & Biju R Mohan. (2022) Parameter optimization for GARCH Model using hybrid PSO-GA. Parameter optimization for GARCH Model using hybrid PSO-GA.
Shekar Bose & Hafizur Rahman. (2022) Are News Effects Necessarily Asymmetric? Evidence from Bangladesh Stock Market. SAGE Open 12:4, pages 215824402211271.
Crossref
Tazeen Arsalan, Bilal Ahmed Chishty, Shagufta Ghouri & Nayeem Ul Hassan Ansari. (2022) Comparison of volatility and mean reversion among developed, developing and emerging countries. Journal of Economic and Administrative Sciences.
Crossref
Neenu Chalissery, Suhaib Anagreh, Mohamed Nishad T.Mosab I. Tabash. (2022) Mapping the Trend, Application and Forecasting Performance of Asymmetric GARCH Models: A Review Based on Bibliometric Analysis. Journal of Risk and Financial Management 15:9, pages 406.
Crossref
Pratibha Rai, Priya Gupta, Ajay Chauhan & Bhawna. (2022) Assessment of Volatility Contagion Effect Between Major Financial Markets During COVID-19 Pandemic Catastrophes. Vision: The Journal of Business Perspective, pages 097226292211042.
Crossref
Dexiang Mei, Chenchen Zhao, Qin Luo & Yan Li. (2022) Forecasting the Chinese low-carbon index volatility. Resources Policy 77, pages 102732.
Crossref
Tayyab Raza Fraz, Samreen Fatima & Mudassir Uddin. (2022) Modeling and Forecasting Stock Market Volatility of CPEC Founding Countries: Using Nonlinear Time Series and Machine Learning Models. JISR management and social sciences & economics 20:1, pages 1-20.
Crossref
Zibin Huang & Rustam Ibragimov. (2022) Equity returns and sentiment. Dependence Modeling 10:1, pages 159-176.
Crossref
Chien-Ming Chen, Yuxiao Gong & Jimmy Ming-Tai Wu. (2022) Impact of Technical Indicators and Leading Indicators on Stock Trends on the Internet of Things. Wireless Communications and Mobile Computing 2022, pages 1-15.
Crossref
Lorraine Muguto & Paul-Francois Muzindutsi. (2022) A Comparative Analysis of the Nature of Stock Return Volatility in BRICS and G7 Markets. Journal of Risk and Financial Management 15:2, pages 85.
Crossref
Batsirai MazvionaWinmoreWinmore, Gisele Mah & Ireen Choga. (2022) Day of the week effect in the South African equity market: A garch analysis. Ekonomika 68:1, pages 15-30.
Crossref
Farman Ali, Pradeep Suri, Tarunpreet Kaur & Deepa Bisht. (2022) Modelling time-varying volatility using GARCH models: evidence from the Indian stock market. F1000Research 11, pages 1098.
Crossref
Farman Ali, Pradeep Suri, Tarunpreet Kaur & Deepa Bisht. (2022) Modelling time-varying volatility using GARCH models: evidence from the Indian stock market. F1000Research 11, pages 1098.
Crossref
Yuxiao Gong, Jimmy Ming-Tai Wu, Zhongcui Li, Shuo Liu, Lingyun Sun & Chien-Ming Chen. 2022. Advances in Intelligent Systems and Computing. Advances in Intelligent Systems and Computing 25 33 .
Kamola Bayram & Anwar Hasan Abdullah Othman. 2022. Future of Organizations and Work After the 4th Industrial Revolution. Future of Organizations and Work After the 4th Industrial Revolution 125 144 .
Zheng Fang, Jianying Xie, Ruiming Peng & Sheng Wang. (2021) Climate Finance: Mapping Air Pollution and Finance Market in Time Series. Econometrics 9:4, pages 43.
Crossref
Stephen Zhang & Ganesh Mani. (2021) Popular cryptoassets (Bitcoin, Ethereum, and Dogecoin), Gold, and their relationships: volatility and correlation modeling. Data Science and Management 4, pages 30-39.
Crossref
Deepmala Jasuja, Jaya Mamta Prosad & Neeraj Nautiyal. (2021) A Comparative Performance Analysis of Sustainability Themed Indices in India: Markov Regime Switching Approach. FIIB Business Review, pages 231971452110528.
Crossref
K. D. Shilov & A. V. Zubarev. (2021) Evolution of bitcoin as a Financial Asset. Finance: Theory and Practice 25:5, pages 150-171.
Crossref
Sudhi Sharma, Vaibhav Aggarwal & Miklesh Prasad Yadav. (2021) Comparison of linear and non-linear GARCH models for forecasting volatility of select emerging countries. Journal of Advances in Management Research 18:4, pages 526-547.
Crossref
Elena Valentina Țilică. (2021) Financial Contagion Patterns in Individual Economic Sectors. The Day-of-the-Week Effect from the Polish, Russian and Romanian Markets. Journal of Risk and Financial Management 14:9, pages 442.
Crossref
Fahad Mostafa, Pritam Saha, Mohammad Rafiqul Islam & Nguyet Nguyen. (2021) GJR-GARCH Volatility Modeling under NIG and ANN for Predicting Top Cryptocurrencies. Journal of Risk and Financial Management 14:9, pages 421.
Crossref
Cathy W. S. Chen & Bonny Lee. (2020) Bayesian inference of multiple structural change models with asymmetric GARCH errors. Statistical Methods & Applications 30:3, pages 1053-1078.
Crossref
Ali ÇELİK. (2021) Volatility of BIST 100 Returns After 2020, Calendar Anomalies and Covid-19 EffectVolatility of BIST 100 Returns After 2020, Calendar Anomalies and Covid-19 Effect. BDDK Bankacılık ve Finansal Piyasalar Dergisi 15:1, pages 61-81.
Crossref
Nagaraj Naik & Biju R. Mohan. (2021) Stock Price Volatility Estimation Using Regime Switching Technique-Empirical Study on the Indian Stock Market. Mathematics 9:14, pages 1595.
Crossref
Mason Prasad, Walid Bakry & Maria Estela Varua. (2021) Abnormal volatility in seasoned equity offerings during economic disruptions. Journal of Behavioral and Experimental Finance 30, pages 100509.
Crossref
Keyan Liu, Jianan Zhou & Dayong Dong. (2021) Improving stock price prediction using the long short-term memory model combined with online social networks. Journal of Behavioral and Experimental Finance 30, pages 100507.
Crossref
Ewa Majerowska & Jacek Bednarz. (2021) Does the slope of the yield curve of the interbank market influence prices on the Warsaw Stock Exchange? A sectoral perspective. Przegląd Statystyczny 67:4, pages 294-307.
Crossref
Chao Liang, Yan Li, Feng Ma & Yu Wei. (2021) Global equity market volatilities forecasting: A comparison of leverage effects, jumps, and overnight information. International Review of Financial Analysis 75, pages 101750.
Crossref
Marcela de Marillac Carvalho, Luiz Otávio de Oliveira Pala & Thelma Sáfadi. (2021) Volatility of intraday financial data: Multiscale Ibovespa behavior under to the COVID-19 pandemic. Semina: Ciências Exatas e Tecnológicas 42:1 Supl, pages 25.
Crossref
Donglian Ma & Hisashi Tanizaki. (2019) Fat-tailed stochastic volatility model and the stock market returns in China. China Finance Review International 11:2, pages 170-184.
Crossref
Jatin Trivedi, Cristi Spulbar, Ramona Birau & Amir Mehdiabadi. (2021) MODELLING VOLATILITY SPILLOVERS, CROSS-MARKET CORRELATION AND CO-MOVEMENTS BETWEEN STOCK MARKETS IN EUROPEAN UNION: AN EMPIRICAL CASE STUDY. Business, Management and Economics Engineering 19:01, pages 70-90.
Crossref
Sonat BAYRAM. (2021) Bist 30 Hisse Senetlerinin Gelecekteki Değerlerinin Geometrik Brownıan Hareketi İle Tahmini Ve Arıma, Sarıma, Garch, Egarch, Gjr Modelleri İle Volatilite Analizi. Maliye Finans Yazıları:Özel Sayı 2, pages 191-218.
Crossref
Ngo Thai Hung. (2018) Volatility Behaviour of the Foreign Exchange Rate and Transmission Among Central and Eastern European Countries: Evidence from the EGARCH Model. Global Business Review 22:1, pages 36-56.
Crossref
З.М. Закриева, Х.С. Абдулхалимова & С.У. Бисултанова. 2021. SPATIAL DEVELOPMENT OF TERRITORIES IN THE CONTEXT OF DIGITALIZATION: SOCIO-ECOLOGICAL AND ECONOMIC SYSTEMS. SPATIAL DEVELOPMENT OF TERRITORIES IN THE CONTEXT OF DIGITALIZATION: SOCIO-ECOLOGICAL AND ECONOMIC SYSTEMS 83 86 .
Rama Prasad Kanungo. (2021) Uncertainty of M&As under asymmetric estimation. Journal of Business Research 122, pages 774-793.
Crossref
Elie Bouri, Anupam Dutta & Tareq Saeed. (2020) Forecasting ethanol price volatility under structural breaks. Biofuels, Bioproducts and Biorefining 15:1, pages 250-256.
Crossref
A. Do, R. Powell, J. Yong & A. Singh. (2020) Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models. The North American Journal of Economics and Finance 54, pages 101096.
Crossref
Peter Bossaerts, Shijie Huang & Nitin Yadav. (2020) Exploiting Distributional Temporal Difference Learning to Deal with Tail Risk. Risks 8:4, pages 113.
Crossref
Jiang Wu, Tengfei Zhou & Taiyong Li. (2020) A Hybrid Approach Integrating Multiple ICEEMDANs, WOA, and RVFL Networks for Economic and Financial Time Series Forecasting. Complexity 2020, pages 1-17.
Crossref
Cristi Spulbar, Jatin Trivedi & Ramona Birau. (2020) INVESTIGATING ABNORMAL VOLATILITY TRANSMISSION PATTERNS BETWEEN EMERGING AND DEVELOPED STOCK MARKETS: A CASE STUDY. Journal of Business Economics and Management 21:6, pages 1561-1592.
Crossref
Roy Cerqueti, Massimiliano Giacalone & Raffaele Mattera. (2020) Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. Information Sciences 527, pages 1-26.
Crossref
Roni Bhowmik & Shouyang Wang. (2020) Stock Market Volatility and Return Analysis: A Systematic Literature Review. Entropy 22:5, pages 522.
Crossref
Fuat SEKMEN & Galip Afşin Ravanoğlu. (2020) Arch-Garch Modelleri Kullanılarak Döviz Kurundaki Dalgalanmanın Modellenmesi: Türkiye Örneği. MANAS Sosyal Araştırmalar Dergisi, pages 834-843.
Crossref
Lu Wang, Feng Ma, Jing Liu & Lin Yang. (2020) Forecasting stock price volatility: New evidence from the GARCH-MIDAS model. International Journal of Forecasting 36:2, pages 684-694.
Crossref
Abhisek Mishra & Byomakesh Debata. 2020. The Financial Landscape of Emerging Economies. The Financial Landscape of Emerging Economies 45 53 .
Kamaldeen Ibraheem Nageri. (2019) Evaluating Good and Bad News During Pre and Post Financial Meltdown: Nigerian Stock Market Evidence. Studia Universitatis Babes-Bolyai Oeconomica 64:3, pages 1-22.
Crossref
Alexander Amo Baffour, Jingchun Feng & Evans Kwesi Taylor. (2019) A hybrid artificial neural network-GJR modeling approach to forecasting currency exchange rate volatility. Neurocomputing 365, pages 285-301.
Crossref
Xiao-Li Gong, Xi-Hua Liu, Xiong Xiong & Xin-Tian Zhuang. (2019) Forecasting stock volatility process using improved least square support vector machine approach. Soft Computing 23:22, pages 11867-11881.
Crossref
Hasan Hüseyin YILDIRIM & Şakir SAKARYA. (2019) BİST 30 VE KATILIM 30 ENDEKSİ VOLATİLİTELERİNİN KARŞILAŞTIRILMASI. Muhasebe ve Finans İncelemeleri Dergisi 2:2, pages 167-174.
Crossref
Cuong Thanh NGUYEN & Manh Huu NGUYEN. (2019) Modeling Stock Price Volatility: Empirical Evidence from the Ho Chi Minh City Stock Exchange in Vietnam. The Journal of Asian Finance, Economics and Business 6:3, pages 19-26.
Crossref
Anwar Hasan Abdullah Othman, Syed Musa Alhabshi & Razali Haron. (2019) The effect of symmetric and asymmetric information on volatility structure of crypto-currency markets. Journal of Financial Economic Policy 11:3, pages 432-450.
Crossref
Delson Chikobvu & Tendai Makoni. (2019) Statistical modelling of Zimbabwe’s international tourist arrivals using both symmetric and asymmetric volatility models. Journal of Economic and Financial Sciences 12:1.
Crossref
Ji-Eun Choi & Dong Wan Shin. (2019) Quantile forecasts for financial volatilities based on parametric and asymmetric models. Journal of the Korean Statistical Society 48:1, pages 68-83.
Crossref
Apoorv Gupta & Prabina Rajib. (2018) Do VaR exceptions have seasonality? An empirical study on Indian commodity spot prices. IIMB Management Review 30:4, pages 369-384.
Crossref
Ayanda Sikhosana & Goodness C. Aye. (2018) Asymmetric volatility transmission between the real exchange rate and stock returns in South Africa. Economic Analysis and Policy 60, pages 1-8.
Crossref
Jaratin Lily, Imbarine Bujang, Abdul Aziz Karia & Mori Kogid. (2017) Exchange rate exposure revisited in Malaysia: a tale of two measures. Eurasian Business Review 8:4, pages 409-435.
Crossref
Noureddine Benlagha & Wael Hemrit. (2018) The Dynamic and Dependence of Takaful and Conventional Stock Return Behaviours: Evidence from the Insurance Industry in Saudi Arabia. Asia-Pacific Financial Markets 25:4, pages 285-323.
Crossref
Jacinta Chan Phooi M’ng. (2018) Dynamically Adjustable Moving Average (AMA’) technical analysis indicator to forecast Asian Tigers’ futures markets. Physica A: Statistical Mechanics and its Applications 509, pages 336-345.
Crossref
Jules Clement Mba, Edson Pindza & Ur Koumba. (2018) A differential evolution copula-based approach for a multi-period cryptocurrency portfolio optimization. Financial Markets and Portfolio Management 32:4, pages 399-418.
Crossref
可佳 阎. (2018) Using Difference Method to Improve the Prediction Accuracy—An Empirical Study Based on China Shanghai and Shenzhen 300 Stock Index. Finance 08:01, pages 1-13.
Crossref
Jaratin Lily, Imbarine Bujang, Abdul Aziz Karia & Mori Kogid. 2018. Proceedings of the 2nd Advances in Business Research International Conference. Proceedings of the 2nd Advances in Business Research International Conference 135 144 .
Jaratin Lily, Imbarine Bujang & Abdul Aziz Karia. 2018. Proceedings of the 2nd Advances in Business Research International Conference. Proceedings of the 2nd Advances in Business Research International Conference 99 109 .
Coenraad C. A. Labuschagne, Niel Oberholzer & Pierre J. Venter. 2018. Advances in Panel Data Analysis in Applied Economic Research. Advances in Panel Data Analysis in Applied Economic Research 85 94 .
Sergey Nikolayevich Volodin, Gennadii Mladenovich Kuranov & Alexey Pavlovich Yakubov. (2017) Impact of Political News: Evidence from Russia. Scientific Annals of Economics and Business 64:3, pages 271-287.
Crossref
Raúl de Jesús Gutiérrez, Edgar Ortiz Calisto & Oswaldo García Salgado. (2017) Long-term effects of the asymmetry and persistence of the prediction of volatility: Evidence for the equity markets of Latin America. Contaduría y Administración 62:4, pages 1081-1099.
Crossref
Raúl de Jesús Gutiérrez, Edgar Ortiz Calisto & Oswaldo García Salgado. (2017) Los efectos de largo plazo de la asimetría y persistencia en la predicción de la volatilidad: evidencia para mercados accionarios de América Latina. Contaduría y Administración 62:4, pages 1063-1080.
Crossref
Mehdi Zolfaghari & Bahram Sahabi. (2017) Impact of foreign exchange rate on oil companies risk in stock market: A Markov-switching approach. Journal of Computational and Applied Mathematics 317, pages 274-289.
Crossref
Azeem Ahmad Khan & Sarfaraz Javed. (2017) A study of volatility behaviour of S&P BSE BANKEX return in India: A pragmatic approach using GARCH model. International Journal of ADVANCED AND APPLIED SCIENCES 4:4, pages 127-132.
Crossref
Amare Wubishet AyeleEmmanuel GabreyohannesYohannes Yebabe Tesfay. (2017) Macroeconomic Determinants of Volatility for the Gold Price in Ethiopia: The Application of GARCH and EWMA Volatility Models. Global Business Review 18:2, pages 308-326.
Crossref
AmitRuchika Bammi. (2017) Impact of News on Indian Stock Market: A Periodic Study with Asymmetric Conditional Volatility Models. Management and Labour Studies 41:3, pages 169-180.
Crossref
Shreya MathurVarun ChotiaN.V.M. Rao. (2016) Modelling the Impact of Global Financial Crisis on the Indian Stock Market through GARCH Models. Asia-Pacific Journal of Management Research and Innovation 12:1, pages 11-22.
Crossref
Fatemeh Mirzaei Talarposhti, Hossein Javedani Sadaei, Rasul Enayatifar, Frederico Gadelha Guimarães, Maqsood Mahmud & Tayyebeh Eslami. (2016) Stock market forecasting by using a hybrid model of exponential fuzzy time series. International Journal of Approximate Reasoning 70, pages 79-98.
Crossref
Christoph S. Weber & Philipp Nickol. (2016) More on Calendar Effects on Islamic Stock Markets. Review of Middle East Economics and Finance 12:1.
Crossref
P. Andrikopoulos, D.L.T. Anh & M.K. Newaz. 2016. Handbook of Frontier Markets. Handbook of Frontier Markets 251 272 .
D.S. Kambouroudis. 2016. Handbook of Frontier Markets. Handbook of Frontier Markets 39 54 .
Prateek Sharma & Vipul _. (2015) Forecasting stock index volatility with GARCH models: international evidence. Studies in Economics and Finance 32:4, pages 445-463.
Crossref
Milton Abdul Thorlie, Lixin Song, Muhammad Amin & Xiaoguang Wang. (2015) Modeling and forecasting of stock index volatility with APARCH models under ordered restriction. Statistica Neerlandica 69:3, pages 329-356.
Crossref
Hui-Ming Zhu, ZhaoLai Li, WanHai You & Zhaofa Zeng. (2015) Revisiting the asymmetric dynamic dependence of stock returns: Evidence from a quantile autoregression model. International Review of Financial Analysis 40, pages 142-153.
Crossref
Dimos S. Kambouroudis & David G. McMillan. (2015) Is there an ideal in-sample length for forecasting volatility?. Journal of International Financial Markets, Institutions and Money 37, pages 114-137.
Crossref
Klaus Grobys. (2014) Size distortions of the wild bootstrapped HCCME-based LM test for serial correlation in the presence of asymmetric conditional heteroskedasticity. Empirical Economics 48:3, pages 1189-1202.
Crossref
Andreea Maria Pece & Nicolae Petria. (2015) Volatility, Thin Trading and non-liniarities: An Empirical Approach for the BET Index During Pre-crisis and Post-crisis Periods. Procedia Economics and Finance 32, pages 1342-1352.
Crossref
Diego Acuña, Héctor Allende-Cid & Héctor Allende. 2015. Progress in Pattern Recognition, Image Analysis, Computer Vision, and Applications. Progress in Pattern Recognition, Image Analysis, Computer Vision, and Applications 527 534 .
Dimitris Petmezas & Daniel Santamaria. (2014) Investor induced contagion during the banking and European sovereign debt crisis of 2007–2012: Wealth effect or portfolio rebalancing?. Journal of International Money and Finance 49, pages 401-424.
Crossref
Yiannis Dendramis, Giles E. Spungin & Elias Tzavalis. (2014) Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations. Journal of Forecasting 33:7, pages 515-531.
Crossref
Monica Singhania & Shachi Prakash. (2014) Volatility and cross correlations of stock markets in SAARC nations. South Asian Journal of Global Business Research 3:2, pages 154-169.
Crossref
Soheil Almasi Monfared & David Enke. (2014) Volatility Forecasting Using a Hybrid GJR-GARCH Neural Network Model. Procedia Computer Science 36, pages 246-253.
Crossref
Vipul Kumar Singh. (2013) Effectiveness of volatility models in option pricing: evidence from recent financial upheavals. Journal of Advances in Management Research 10:3, pages 352-375.
Crossref
Usoph Hamdi Salemi, Sadegh Rezaei & Saralees Nadarajah. (2013) VAD Based on Kernel Smoothed Function of EGARCH Models. Wireless Personal Communications 72:1, pages 299-313.
Crossref
Ching Mun Lim & Siok Kun Sek. (2013) Comparing the Performances of GARCH-type Models in Capturing the Stock Market Volatility in Malaysia. Procedia Economics and Finance 5, pages 478-487.
Crossref
M. J. Rodriguez & E. Ruiz. (2012) Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities. Journal of Financial Econometrics 10:4, pages 637-668.
Crossref
Pingping Wang & Jiajia Jiang. 2012. Advances in Information Technology and Industry Applications. Advances in Information Technology and Industry Applications 635 643 .
Dongming Zhu & John W. Galbraith. (2011) Modeling and forecasting expected shortfall with the generalized asymmetric Student-t and asymmetric exponential power distributions. Journal of Empirical Finance 18:4, pages 765-778.
Crossref
Dongming Zhu & John W. Galbraith. (2010) A generalized asymmetric Student- distribution with application to financial econometrics. Journal of Econometrics 157:2, pages 297-305.
Crossref
P. Srinivasan & P. Ibrahim. (2010) Forecasting Stock Market Volatility of Bse-30 Index Using Garch Models. Asia Pacific Business Review 6:3, pages 47-60.
Crossref
Tiansheng Xu, Hong Qiao, Yiping Yang & Jim Zhang. (2010) Month effect research of Shanghai A-share based on balanced influence. Month effect research of Shanghai A-share based on balanced influence.
Dima Alberg, Mark Last, Roni Neuman & Avi Sharon. (2009) Induction of Mean Output Prediction Trees from Continuous Temporal Meteorological Data. Induction of Mean Output Prediction Trees from Continuous Temporal Meteorological Data.
Markus J. Fülle & Helmut Herwartz. (2022) Predicting Tail Risks by a Markov Switching MGARCH Model with Varying Copula Regimes. SSRN Electronic Journal.
Crossref
Frrddric Godin & Andrew Luong. (2016) Efficient Semi-Parametric Estimation of Non-Gaussian GARCH Processes. SSRN Electronic Journal.
Crossref
Wei Jianguo. (2016) Estimating Stock Market Volatility with Asymmetric Arch, GARCH and Expanded GARCH Models. SSRN Electronic Journal.
Crossref
Dongming Zhu & John W. Galbraith. (2009) Forecasting Expected Shortfall with a Generalized Asymmetric Student-T Distribution. SSRN Electronic Journal.
Crossref
John W. Galbraith & Dongming Zhu. (2009) A Generalized Asymmetric Student-t Distribution with Application to Financial Econometrics. SSRN Electronic Journal.
Crossref
Tomas Vyrost & Eduard Baumohl. (2009) Asymmetric GARCH and the Financial Crisis: A Preliminary Study. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.