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Forecasting stock market volatility using (non-linear) Garch models
9 references·16 citing·26 second hop
Forecasting stock market volatility using (non-linear) Garch models (1996)Forecasting stock market volatility using…Quadratic ARCH Models (1995)Quadratic ARCH ModelsOn the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Stock market volatility and the information content of stock index options (1992)Stock market volatility and t…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Alternative models for conditional stock volatility (1990)Alternative models for condit…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Genetic Algorithm-Optimized Long Short-Term Memory Network for Stock Market Prediction (2018)Genetic Algorithm-Optimized L…Financial news predicts stock market volatility better than close price (2018)Financial news predicts stock…Multidimensional k -nearest neighbor model based on EEMD for financial time series forecasting (2017)Multidimensional k -nearest n…The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016)The directional volatility co…A risk worth taking: Perceived risk as moderator of satisfaction, loyalty, and willingness-to-pay premium price (2016)A risk worth taking: Perceive…Networks in financial markets based on the mutual information rate (2014)Networks in financial markets…Interdependence of oil prices and stock market indices: A copula approach (2014)Interdependence of oil prices…Forecasting S&P-100 stock index volatility: The role of volatility asymmetry and distributional assumption in GARCH models (2009)Forecasting S&P-100 stock ind…Forecasting Stock Market Volatility with Regime-Switching GARCH Models (2005)Forecasting Stock Market Vola…A Practical Guide to Forecasting Financial Market Volatility (2005)A Practical Guide to Forecast…Volatility forecasting with smooth transition exponential smoothing (2004)Volatility forecasting with s…Statistical inference for time-inhomogeneous volatility models (2004)Statistical inference for tim…Predicting the volatility of the S&P-500 stock index via GARCH models: the role of asymmetries (2004)Predicting the volatility of …Mixed Normal Conditional Heteroskedasticity (2004)Mixed Normal Conditional Hete…Volatility forecasting for risk management (2002)Volatility forecasting for ri…Forecasting volatility in the New Zealand stock market (2002)Forecasting volatility in the…The Pricing of Options and Corporate Liabilities (1973)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Impulse response analysis in nonlinear multivariate models (1996)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Oil price uncertainty and clean energy stock returns: New evidence from crude oil volatility index (2017)How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques (2020)Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis (2021)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Stock Prices and Volume (1992)Intraday periodicity and volatility persistence in financial markets (1997)Forecasting Volatility in Financial Markets: A Review (2003)Econometric Analysis of Cross Section and Panel Data (2001)MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation (2000)Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)A test for volatility spillover with application to exchange rates (2001)Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements (2003)The risk return tradeoff in the long run: 1836–2003 (2007)The Cross‐Section of Volatility and Expected Returns (2006)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
this work references cited by second hop

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
  • 1992ARCH modeling in finance4,288 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1990Alternative models for conditional stock volatility1,272 cited
  • 1992Stock market volatility and the information content of stock index options667 cited
  • 1995Quadratic ARCH Models559 cited

Cited by

  • 2016The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes420 cited
  • 2005Forecasting Stock Market Volatility with Regime-Switching GARCH Models311 cited
  • 2018Genetic Algorithm-Optimized Long Short-Term Memory Network for Stock Market Prediction311 cited
  • 2004Predicting the volatility of the S&P-500 stock index via GARCH models: the role of asymmetries251 cited
  • 2016A risk worth taking: Perceived risk as moderator of satisfaction, loyalty, and willingness-to-pay premium price

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235 cited
  • 2002Forecasting volatility in the New Zealand stock market219 cited
  • 2004Mixed Normal Conditional Heteroskedasticity204 cited
  • 2002Volatility forecasting for risk management188 cited
  • 2005A Practical Guide to Forecasting Financial Market Volatility171 cited
  • 2018Financial news predicts stock market volatility better than close price166 cited
  • 2004Statistical inference for time-inhomogeneous volatility models158 cited
  • 2014Interdependence of oil prices and stock market indices: A copula approach155 cited
  • 2014Networks in financial markets based on the mutual information rate150 cited
  • 2017Multidimensional k -nearest neighbor model based on EEMD for financial time series forecasting134 cited
  • 2004Volatility forecasting with smooth transition exponential smoothing122 cited
  • 2009Forecasting S&P-100 stock index volatility: The role of volatility asymmetry and distributional assumption in GARCH models111 cited