Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Forecasting UK stock market volatility

16 references·16 citing·22 second hopsampled

FromToDepth

this work references cited by second hop· second hop is a sample of the most-cited connections

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
1965The Behavior of Stock-Market Prices8,707 cited
1963The Variation of Certain Speculative Prices4,851 cited
1997The variation of certain speculative prices4,468 cited
1992ARCH modeling in finance4,288 cited
1993Measuring and Testing the Impact of News on Volatility3,692 cited
1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’2,308 cited
1990Alternative models for conditional stock volatility1,272 cited
1989Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts856 cited
1993Measuring and Testing the Impact of News on Volatility755 cited
1992Inequality Constraints in the Univariate GARCH Model611 cited
1993A Permanent and Transitory Component Model of Stock Return Volatility

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

501 cited

1996An evaluation of volatility forecasting techniques479 cited

Cited by

2016The interactive relationship between the US economic policy uncertainty and BRIC stock markets182 cited
2009Forecasting volatility with support vector machine‐based GARCH model87 cited
2016Volatility forecasting via SVR–GARCH with mixture of Gaussian kernels77 cited
2016Modelling and Estimation of Volatility Using ARCH/GARCH Models in Jordan’s Stock Market72 cited
2012Modelling Stock Market Volatility Using Univariate GARCH Models: Evidence from Sudan and Egypt72 cited
2007Volatility forecasting: Intra-day versus inter-day models69 cited
2004Daily volatility forecasts: reassessing the performance of GARCH models57 cited
2009Are RiskMetrics forecasts good enough? Evidence from 31 stock markets51 cited
2009Volatility Forecasting in the Hang Seng Index using the GARCH Approach48 cited
2013EGARCH, GJR-GARCH, TGARCH, AVGARCH, NGARCH, IGARCH and APARCH Models for Pathogens at Marine Recreational Sites47 cited
2006Forecasting stock market volatility: Further international evidence44 cited
2010Comparison of the finite mixture of ARMA-GARCH, back propagation neural networks and support-vector machines in forecasting financial returns39 cited
2016An evolutionary hybrid Fuzzy Computationally Efficient EGARCH model for volatility prediction36 cited
2007Forecasting volatility in the financial markets: a comparison of alternative distributional assumptions35 cited
2010Forecasting accuracy of stochastic volatility, GARCH and EWMA models under different volatility scenarios34 cited
2012Modelling and Forecasting Volatility in the Gold Market33 cited