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Original Articles

Forecasting stock market volatility with non-linear GARCH models: a case for China

Pages 163-166 | Published online: 07 Oct 2010

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Saralees Nadarajah, Bo Zhang & Stephen Chan. (2014) Estimation methods for expected shortfall. Quantitative Finance 14:2, pages 271-291.
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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.
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Jing Liu, Feng Ma & Yaojie Zhang. (2019) Forecasting the Chinese stock volatility across global stock markets. Physica A: Statistical Mechanics and its Applications 525, pages 466-477.
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Amanjot Singh. (2017) Modeling Conditional Volatility of Indian Banking Sector’s Stock Market Returns. Scientific Annals of Economics and Business 64:3, pages 325-338.
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Trilochan Tripathy & Luis A. Gil-Alana. (2015) Modelling time-varying volatility in the Indian stock returns: Some empirical evidence. Review of Development Finance 5:2, pages 91-97.
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Prateek Sharma & Vipul _. (2015) Forecasting stock index volatility with GARCH models: international evidence. Studies in Economics and Finance 32:4, pages 445-463.
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Ai Jun Hou. (2013) Asymmetry effects of shocks in Chinese stock markets volatility: A generalized additive nonparametric approach. Journal of International Financial Markets, Institutions and Money 23, pages 12-32.
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Hung-Chun Liu, Shu-Mei Chiang & Nick Ying-Pin Cheng. (2012) Forecasting the volatility of S&P depositary receipts using GARCH-type models under intraday range-based and return-based proxy measures. International Review of Economics & Finance 22:1, pages 78-91.
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Hung-Chun Liu & Jui-Cheng Hung. (2010) Forecasting S&P-100 stock index volatility: The role of volatility asymmetry and distributional assumption in GARCH models. Expert Systems with Applications 37:7, pages 4928-4934.
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Stéphane M. Yen & Ming-Hsiang Chen. (2009) Open interest, volume, and volatility: evidence from Taiwan futures markets. Journal of Economics and Finance 34:2, pages 113-141.
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Liang Yu, Zhao Xi-nan & Zhang Li-bing. (2006) Studies of Stock Market Discrete Event Risk Based on Asymmetric Effect Models. Studies of Stock Market Discrete Event Risk Based on Asymmetric Effect Models.
Wei-Chiao Huang & Yuanlei Zhu. (2011) Are Shocks Asymmetric to Volatility of Chinese Stock Markets?. Review of Pacific Basin Financial Markets and Policies 07:03, pages 379-395.
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Kashif Saleem. (2007) Modeling Time Varying Volatility and Asymmetry of Karachi Stock Exchange (KSE). SSRN Electronic Journal.
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Ai Jun Hou. (2007) Asymmetry Effects in Chinese Stock Markets Volatility: A Generalized Additive Nonparametric Approach. SSRN Electronic Journal.
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