We propose the EGARCH-MIDAS-CPU model, which incorporates the leverage effect and climate policy uncertainty (CPU) to model and forecast European Union allowance futures’ (EUAF) volatility. An empirical analysis based on the daily data of the E...
This study adopted the exponential generalized autoregressive conditional heteroscedasticity (EGARCH) model to examine the 10 ozone precursors of the highest concentrations among the 54 that were assessed over a number of years at the four photochemi...
This study proposes a hybrid EGARCH-Informer framework for forecasting volatility and calibrating tail risk in financial time series. The econometric layer (EGARCH) captures asymmetric and persistent volatility dynamics, while the attention layer (In...
This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility exponential...
One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects...
Financial economic research has extensively documented the fact that the impact of the arrival of negative news on stock prices is more intense than that of the arrival of positive news. The authors of the present study followed an innovative approac...
This study adopted the Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) model to analyze seven air pollutants (or the seven variables in this study) from ten air quality monitoring stations in the Kaohsiung–Pingtun...
Volatility modelling is a key feature of financial risk management, portfolio optimisation, and forecasting, particularly for market indices such as the JSE Top40 Index, which serves as a benchmark for the South African stock market. This study inves...
This paper studies the effect of COVID-19 on the volatility of Australian stock returns and the effect of negative and positive news (shocks) by investigating the asymmetric nature of the shocks and leverage impact on volatility. We employ a generali...
This paper studies the volatility dynamics of the JSE Top40 Index by estimating a univariate GAS model with time-varying location, scale, and shape parameters (identity score scaling) and comparing its density and point-forecast performance against a...
The relevance of the development is determined by the possibility of testing a complex analytical methodology for forecasting the daily volatility of Bulgarian investment funds, which will support the investment community in making adequate investmen...
This paper examines the impact of the COVID-19 pandemic on the volatility of the EUR/MRU and USD/MRU exchange rates using GARCH-type models. Symmetric GARCH(1,1) and asymmetric specifications—EGARCH and GJR-GARCH—are applied to capture po...
Using a standard event study methodology and the EGARCH model, this study examined the depth of market anomaly at the onset of the Russia–Ukraine conflict in 2022. Equity markets in Africa and G7 nations were analyzed for their varied political...
Across the globe, COVID-19 has disrupted the financial markets, making them more volatile. Thus, this paper examines the market volatility and asymmetric behavior of Bitcoin, EUR, S&P 500 index, Gold, Crude Oil, and Sugar during the COVID-19 pand...
This paper examines the high-frequency impact of tariff rhetoric on financial markets, a topic largely unexplored in existing literature. Unlike previous studies that focus on the long-term, macroeconomic effects of enacted trade policies, our resear...
Even though both symmetric and asymmetric conceptions of news impacts are well-established in the disciplines of economics and financial markets, the effects of combining multiple news shocks on the volatility of tourism demand have not yet been delv...
This paper investigates the nature of volatility spillovers between stock returns and hedge funds returns in twelve Asia Pacific countries in the 1997–2018 period. The sample period encompasses sub periods, 1997 Asia financial crisis, 2008 Global fin...
For many developing countries, historical inflation figures are rarely available. We propose a simple method that aims to recover such figures of inflation using prices of postage stamps issued in earlier years. We illustrate our method for Suriname,...
This paper examines the impact of firms’ sustainability engagement on their stock returns and volatility by employing the EGARCH and FIGARCH models using data from the major financial firms listed in the Chinese stock market. We find evidence o...
This study utilizes a bivariate BEKK-EGARCH model with the setting of a structural break to investigate whether the interactions between stock indices in emerging and developed markets are different in terms of region, emerging stock indices, and sub...
This study analysed the impact of the volatility of the rupiah exchange rate on four main commodities exported from Indonesia to six member countries of the Organisation of the Islamic Cooperation (OIC) (Saudi Arabia, Malaysia, Pakistan, United Arab...
This study aims to investigate the performance and behavior of fiat- and gold-backed cryptocurrencies to support stakeholders through the preparation of a portfolio from 1 January 2021 to 30 June 2022. Moreover, while searching for a hedge or a diver...
Cryptocurrencies have gained a lot of attraction across the globe. Most observers of the cryptocurrency market will agree that crypto volatility is in a different league altogether. There has been a growing need to understand the nature of volatility...
The purpose of this study is to investigate the fluctuations that occur in stock returns of US stock indices when there is an increase in the volume of Google internet searches for the phrase “quantitative easing” in the US. The exponential generaliz...
COVID-19 has significantly affected the financial and commodity markets. The purpose of this investigation is to understand the impact of the COVID-19 crisis on Dow Jones and West Texas Intermediate (WTI) oil returns in relation to other crises using...
This research aims to compare the performance of ARIMA as a linear model with that of the combination of ARIMA and GARCH family models to forecast S&P500 log returns in order to construct algorithmic investment strategies on this index. We used t...
This study analyses the impact of the Geopolitical Risk Index (GPR) on the volatility of commodity futures returns from 4 January 2010 to 30 June 2023, using Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) models. It ex...
This study investigated the impact of the introduction of the VN30-Index futures contract on the daily returns anomaly for the Ho Chi Minh Stock Exchange (HOSE). Daily returns of the VN30-Index for the period 6 February 2012 through 31 December 2019...
The number of Chinese tourists visiting Taiwan has been closely related to the political relationship across the Taiwan Strait. The occurrence of political events and disasters or accidents have had, and will continue to have, a huge impact on the Ta...
This paper attempts to understand the dynamic interrelationships and financial asset capabilities of Bitcoin by analysing several aspects of its volatility vis-a-vis other asset classes. This study aims to analyse the volatility dynamics of the retur...
The extent of correlation or co-movement among the returns of developed and emerging stock markets remains pivotal for efficiently diversifying global portfolios. This correlation is prone to variation over time as a consequence of escalating economi...
Global financial markets have experienced significant volatility during crises, particularly COVID-19 and the Russia–Ukraine conflict, prompting questions about how regional markets respond to such shocks. Previous research highlights the influ...
Over the past years, cryptocurrencies have drawn substantial attention from the media while attracting many investors. Since then, cryptocurrency prices have experienced high fluctuations. In this paper, we forecast the high-frequency 1 min volatilit...
The South African exchange rate has been volatile in recent years affecting the competitiveness of commodities in the market. Consequently, South African agricultural exporters have faced lower profitability or entire losses. More South Africa is amo...
As investment portfolios become increasingly diversified and financial asset risks grow more complex, accurately forecasting the risk of multiple asset classes through mathematical modeling and identifying their heterogeneity has emerged as a critica...
The cryptocurrency market, known for its inherent volatility, has been significantly influenced by external shocks, particularly during periods of global crises such as the COVID-19 pandemic and the Russia–Ukraine war. This study investigates t...
The carbon emission trading markets represent an emerging domain within China. The primary objective of this study is to explore whether carbon price volatility influences stock market volatility among companies subject to these emission trading regu...
This study examines the dynamics of equity market volatility and economic policy uncertainty (EPU) in South Africa during the COVID-19 pandemic. Using daily return data for sectoral indices and the JSE All Share Index (ALSI) from 1 January 2020 to 31...
This paper explores the relative stock market performance of well-diversified gender equality equity indices in comparison with the overall market, taking both a cross-sectoral and a financial sector approach, for the period January 2017 to March 202...
This paper investigates five different Auto Regressive Moving Average (ARMA) and Generalized Auto Regressive Condition-al Heteroscedacity (GARCH models (GARCH, exponential GARCH or EGARCH, integrated GARCH or IGARCH, Component GARCH or CGARCH and the...
In today’s environmentally conscious world, carbon trading has emerged as a widely accepted economic instrument to mitigate the externalities resulting from deteriorating environmental problems. Consequently, the use of market-based mechanisms...
Recent research suggests that long memory can be caused by regime switching and is easily confused with it. However, if the causes of confusion were properly controlled, they could be distinguished. Motivated by this idea, our study aims to distingui...
This paper analyzes the volatility dynamics in the financial markets of the (three) most powerful countries from a military perspective, namely, the U.S., Russia, and China, during the period 2015–2018 that corresponds to their intervention in...
This study investigates calendar anomalies and their impact on returns and volatility patterns in the cryptocurrency market, focusing on day-of-the-week effects before and during the COVID-19 pandemic. Using advanced statistical models from the GARCH...
The study assessed the effect of inflation targeting (IT) policy on inflation uncertainty and economic growth in African and European IT countries. This study contributes to the existing knowledge by analysing and comparing the African IT and Europea...
We examined volatility spillover effects from five prominent global stock markets to India’s stock market during the pre-and-post COVID-19 outbreak using daily adjusted closing prices between January 2019 and September 2021 from six capital mar...
This paper uses three methodologies for measuring the existence of systemic risk in the Colombian banking system. The determination of its existence is based on implementing three systemic risk measures widely referenced in academic works after the s...
We explore the impact of time series behavior on model errors when working under an elliptically contoured distribution. By adopting a time series approach aligned with the realistic dependence between errors under such distributions, this perspectiv...
Abstract: This paper analyses the interdependence between Islamic and conventional equities by taking into consideration the asymmetric effect of return and volatility transmission. We empirically investigate the decoupling hypothesis of Islamic and...
This study analyzes how sectoral stock volatility in the GCC region responds to global financial uncertainty shocks originating from the U.S. (CBOE VIX), Europe (VSTOXX-50), Bitcoin investors’ Sentiment Indices (BSI), and disaggregated global F...
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