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The Application of GARCH and EGARCH in Modeling the Volatility of Daily Stock Returns During Massive Shocks: The Empirical Case of Egypt
13 references·2 citing·29 second hop
The Application of GARCH and EGARCH in Modeling the Volatility of Daily Stock Returns During Massive Shocks: The Empirical Case of Egypt (2012)The Application of GARCH and EGARCH in Mo…Modeling and Forecasting Time Varying Stock Return Volatility in the Egyptian Stock Market (2011)Modeling and Forecasting Time…On the long memory properties of emerging capital markets: evidence from Istanbul stock exchange (2004)On the long memory properties…Forecasting UK stock market volatility (2000)Forecasting UK stock market v…Volatility in Emerging Stock Markets (1999)Volatility in Emerging Stock …The Egyptian Stock Market: Efficiency Tests and Volatility Effects (1999)The Egyptian Stock Market: Ef…Emerging equity market volatility (1997)Emerging equity market volati…An evaluation of volatility forecasting techniques (1996)An evaluation of volatility f…Industrial Structure and the Comparative Behavior of International Stock Market Indices (1992)Industrial Structure and the …Stock returns volatility in the Tokyo stock exchange (1991)Stock returns volatility in t…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Volatility forecasting without data-snooping (1990)Volatility forecasting withou…Stock Returns and Volatility (1990)Stock Returns and VolatilityAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Asymmetry risk and herding behavior: a quantile regression study of the Egyptian mutual funds (2024)Asymmetry risk and herding be…A Study on the Volatility of the Bangladesh Stock Market — Based on GARCH Type Models (2017)A Study on the Volatility of …Generalized autoregressive conditional heteroskedasticity (1986)Expected stock returns and volatility (1987)Why Does Stock Market Volatility Change Over Time? (1989)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Forecasting Volatility in Financial Markets: A Review (2003)Introductory Econometrics for Finance (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ARCH modeling in finance (1992)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)Risk, Return, and Equilibrium: Empirical Tests (1973)Stock returns and the weekend effect (1980)The information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Default Risk in Equity Returns (2004)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)The Behavior of Stock-Market Prices (1965)Daily volatility forecasts: reassessing the performance of GARCH models (2004)Modelling and Estimation of Volatility Using ARCH/GARCH Models in Jordan’s Stock Market (2016)Autoregressive conditional heteroskedasticity and changes in regime (1994)Time-Varying World Market Integration (1995)Optimal Detection of Changepoints With a Linear Computational Cost (2012)Econometric Analysis of Cross Section and Panel Data (2001)Estimating stock market volatility using asymmetric GARCH models (2008)Forecasting volatility with support vector machine‐based GARCH model (2009)The interactive relationship between the US economic policy uncertainty and BRIC stock markets (2016)Foreign Speculators and Emerging Equity Markets (2000)Asymmetric correlations of equity portfolios (2002)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,394 cited
  • 1997Emerging equity market volatility1,743 cited
  • 1999Volatility in Emerging Stock Markets741 cited
  • 1990Stock Returns and Volatility722 cited
  • 1992Industrial Structure and the Comparative Behavior of International Stock Market Indices662 cited
  • 1996An evaluation of volatility forecasting techniques479 cited
  • 1990Volatility forecasting without data-snooping155 cited
  • 2000Forecasting UK stock market volatility110 cited
  • 1991Stock returns volatility in the Tokyo stock exchange87 cited
  • 2004On the long memory properties of emerging capital markets: evidence from Istanbul stock exchange76 cited
  • 1999The Egyptian Stock Market: Efficiency Tests and Volatility Effects54 cited
  • 2011Modeling and Forecasting Time Varying Stock Return Volatility in the Egyptian Stock Market22 cited

Cited by

  • 2024Asymmetry risk and herding behavior: a quantile regression study of the Egyptian mutual funds18 cited
  • 2017A Study on the Volatility of the Bangladesh Stock Market — Based on GARCH Type Models

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18 cited