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Estimating stock market volatility using asymmetric GARCH models
16 references·16 citing·17 second hopsampled
Estimating stock market volatility using asymmetric GARCH models (2008)Estimating stock market volatility using …Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …The variation of certain speculative prices (1997)The variation of certain spec…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Alternative models for conditional stock volatility (1990)Alternative models for condit…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Stock returns and the weekend effect (1980)Stock returns and the weekend…Studies of stock market volatility changes (1976)Studies of stock market volat…The Behavior of Stock Prices on Fridays and Mondays (1973)The Behavior of Stock Prices …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Volatility forecasting and assessing risk of financial markets using multi-transformer neural network based architecture (2024)Volatility forecasting and as…Improving stock price prediction using the long short-term memory model combined with online social networks (2021)Improving stock price predict…Global equity market volatilities forecasting: A comparison of leverage effects, jumps, and overnight information (2021)Global equity market volatili…Stock Market Volatility and Return Analysis: A Systematic Literature Review (2020)Stock Market Volatility and R…Investor sentiment and stock return volatility: Evidence from the Johannesburg Stock Exchange (2019)Investor sentiment and stock …Forecasting stock price volatility: New evidence from the GARCH-MIDAS model (2019)Forecasting stock price volat…A hybrid artificial neural network-GJR modeling approach to forecasting currency exchange rate volatility (2019)A hybrid artificial neural ne…Asymmetric volatility transmission between the real exchange rate and stock returns in South Africa (2018)Asymmetric volatility transmi…Stock market forecasting by using a hybrid model of exponential fuzzy time series (2015)Stock market forecasting by u…Volatility Forecasting Using a Hybrid GJR-GARCH Neural Network Model (2014)Volatility Forecasting Using …Comparing the Performances of GARCH-type Models in Capturing the Stock Market Volatility in Malaysia (2013)Comparing the Performances of…Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities (2012)Revisiting Several Popular GA…Modelling Stock Market Volatility Using Univariate GARCH Models: Evidence from Sudan and Egypt (2012)Modelling Stock Market Volati…MODELING STOCK MARKET VOLATILITY USING GARCH MODELS EVIDENCE FROM SUDAN (2011)MODELING STOCK MARKET VOLATIL…Modeling and forecasting expected shortfall with the generalized asymmetric Student-t and asymmetric exponential power distributions (2011)Modeling and forecasting expe…Corporate Social Responsibility and Stock Market Performance (2006)Corporate Social Responsibili…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)The Behavior of Stock-Market Prices (1965)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)The Cross‐Section of Volatility and Expected Returns (2006)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1980Stock returns and the weekend effect1,997 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,373 cited
  • 1990Alternative models for conditional stock volatility1,272 cited
  • 1976Studies of stock market volatility changes885 cited
  • 1973The Behavior of Stock Prices on Fridays and Mondays

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826 cited
  • 2003Forecasting Volatility in Financial Markets: A Review800 cited
  • Cited by

    • 2019Forecasting stock price volatility: New evidence from the GARCH-MIDAS model182 cited
    • 2020Stock Market Volatility and Return Analysis: A Systematic Literature Review165 cited
    • 2019Investor sentiment and stock return volatility: Evidence from the Johannesburg Stock Exchange129 cited
    • 2006Corporate Social Responsibility and Stock Market Performance128 cited
    • 2013Comparing the Performances of GARCH-type Models in Capturing the Stock Market Volatility in Malaysia112 cited
    • 2011Modeling and forecasting expected shortfall with the generalized asymmetric Student-t and asymmetric exponential power distributions86 cited
    • 2021Global equity market volatilities forecasting: A comparison of leverage effects, jumps, and overnight information82 cited
    • 2014Volatility Forecasting Using a Hybrid GJR-GARCH Neural Network Model72 cited
    • 2012Modelling Stock Market Volatility Using Univariate GARCH Models: Evidence from Sudan and Egypt72 cited
    • 2015Stock market forecasting by using a hybrid model of exponential fuzzy time series71 cited
    • 2011MODELING STOCK MARKET VOLATILITY USING GARCH MODELS EVIDENCE FROM SUDAN67 cited
    • 2012Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities66 cited
    • 2021Improving stock price prediction using the long short-term memory model combined with online social networks66 cited
    • 2019A hybrid artificial neural network-GJR modeling approach to forecasting currency exchange rate volatility62 cited
    • 2024Volatility forecasting and assessing risk of financial markets using multi-transformer neural network based architecture58 cited
    • 2018Asymmetric volatility transmission between the real exchange rate and stock returns in South Africa57 cited