Download or read book Modelling and Forecasting the Volatility of Thin Emerging Stock Markets written by Plamen Patev and published by . This book was released on 2004 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern Portfolio Theory associates the stock market risk with volatility of the return. Volatility is measured by the variance of return but the investment community does not accepted this measure, since it weighs equally the deviations of the average return, while most investors determine the risk on the basis of small or negative returns. In the last few years the measure Value at Risk (VaR) has established itself in the practice. The issue about modelling and forecasting thin emerging stock markets risk is still open. The subject of the paper is the risk of the Bulgarian stock market. The aim of the paper is to give the investment community a model for assessment and forecasting of the Bulgarian stock market risk. The results of the research show that the SOFIX index has basic characteristics of most of the emerging stock markets, namely: high risk, significant autocorrelation, non-normality, volatility clustering. Three models have applied - RiskMetrics, EWMA with t distributed innovations and EWMA with GED distributed innovations. The EWMA with t distributed innovations and EWMA with GED distributed innovations adequately evaluate the risk of the Bulgarian stock market.

Download or read book Modelling and Forecasting the Volatility of the Central European Stock Market written by Plamen Patev and published by . This book was released on 2004 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the nature of the Central European stock market volatility before, during and after major emerging market crises. We analyze the Central European Stock Index over the period April 30, 1996 - May 31, 2002. The data is divided into three sample periods - pre-crisis period, crisis period and post-crisis period. We find significant autocorrelation in return series. The autoregressive process is attributed to both nonsynchrounous trading and asymmetric response to good and bad news. We reported significant leverage effect in conditional variance and high volatility persistence in all considered period. Both asymmetry in conditional volatility and volatility persistence tend to increase in crises periods. We employ two symmetric and six asymmetric GARCH models for in-sample and out-of-sample forecasting. In addition, we apply Engle and Ng (1993) diagnostic tests for news impac. Results lead us to the conclusion that following a financial crisis, the negative return shocks have higher volatility than positive return shocks. We find that asymmetric GARCH model with non-normal distributed residuals capture most of Central European stock market volatility characteristics: (1) asymmetric news impact, (2) volatility persistence and (3) fat-tailed distribution of stock market returns. The asAR(1)-VGARCH (1,1)-t is most appropriate model in case of in-sample forecast while the asAR(1)-NAGARCH (1,1)-t model can be regareded as most appropriate.

Download or read book Forecasting Volatility in the Financial Markets written by John Knight and published by Butterworth-Heinemann. This book was released on 1998 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt: An aid to understanding the significance of volatility in the financial market, this text details modelling/forecasting techniques and uses a technical survey to define the models of volatility and return and explain the ways to measure risk. Applications in the financial markets are then detailed.

Download or read book Volatility Forecasting in Emerging Markets written by J Kinlay and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The great majority of empirical studies have focused on asset markets in the US and other developed economies. The purpose of this research is to determine to what extent the findings of other researchers in relation to the characteristics of asset volatility in developed economies applies also to emerging markets. The important characteristics observed in asset volatility that we wish to identify and examine in emerging markets include clustering, (the tendency for periodic regimes of high or low volatility) long memory, asymmetry, and correlation with the underlying returns process. The extent to which such behaviors are present in emerging markets will serve to confirm or refute the conjecture that they are universal and not just the product of some factors specific to the intensely scrutinized, and widely traded developed markets. The ten emerging markets we consider comprise equity markets in Australia, Hong Kong, Indonesia, Malaysia, New Zealand, Philippines, Singapore, South Korea, Sri Lanka and Taiwan focusing on the major market indices for those markets. After analyzing the characteristics of index volatility for these indices, the research goes on to develop single- and two-factor REGARCH models in the form by Alizadeh, Brandt and Diebold (2002).

Download or read book Modelling Stock Market Volatility written by Peter Eric Rossi and published by . This book was released on 1996 with total page 485 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance professionals in government and in the trading and investment banking industry use time models to provide necessary data for pricing options and related securities. This volume provides a wealth of practical guidance for these professionals to successfully implement continuous-time models.

Download or read book A Practical Guide to Forecasting Financial Market Volatility written by Ser-Huang Poon and published by John Wiley & Sons. This book was released on 2005-08-19 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment, option pricing, and financial market regulation. While many books address financial market modelling, no single book is devoted primarily to the exploration of volatility forecasting and the practical use of forecasting models. A Practical Guide to Forecasting Financial Market Volatility provides practical guidance on this vital topic through an in-depth examination of a range of popular forecasting models. Details are provided on proven techniques for building volatility models, with guide-lines for actually using them in forecasting applications.

Download or read book Modelling and Forecasting Stock and Stock Market Volatility written by Craig Paul Gower and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Empirical Studies on Volatility in International Stock Markets written by Eugenie M.J.H. Hol and published by Springer. This book was released on 2010-11-19 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and so-called realised volatility models which are based on intraday volatility measures. The intended readers are financial professionals who seek to obtain more accurate volatility forecasts and wish to gain insight about state-of-the-art volatility modelling techniques and their empirical value, and academic researchers and students who are interested in financial market volatility and want to obtain an updated overview of the various methods available in this area.

Download or read book Stock Market Modeling and Forecasting written by Xiaolian Zheng and published by Springer. This book was released on 2013-04-09 with total page 161 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock Market Modeling and Forecasting translates experience in system adaptation gained in an engineering context to the modeling of financial markets with a view to improving the capture and understanding of market dynamics. The modeling process is considered as identifying a dynamic system in which a real stock market is treated as an unknown plant and the identification model proposed is tuned by feedback of the matching error. Like a physical system, a financial market exhibits fast and slow dynamics corresponding to external (such as company value and profitability) and internal forces (such as investor sentiment and commodity prices) respectively. The framework presented here, consisting of an internal model and an adaptive filter, is successful at considering both fast and slow market dynamics. A double selection method is efficacious in identifying input factors influential in market movements, revealing them to be both frequency- and market-dependent. The authors present work on both developed and developing markets in the shape of the US, Hong Kong, Chinese and Singaporean stock markets. Results from all these sources demonstrate the efficiency of the model framework in identifying significant influences and the quality of its predictive ability; promising results are also obtained by applying the model framework to the forecasting of major market-turning periods. Having shown that system-theoretic ideas can form the core of a novel and effective basis for stock market analysis, the book is completed by an indication of possible and likely future expansions of the research in this area.

Download or read book Stock Market Volatility written by Greg N. Gregoriou and published by . This book was released on 1998 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive reference, this edited volume examines key aspects of stock market volatility. Divided into four sections, it covers modelling stock market volatility, portfolio management and hedge fund volatility, developed country volatility and emerging market volatility.

Download or read book Modelling and Forecasting Stock and Stock Market Volatility written by Craig Paul Gower and published by . This book was released on 2001 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modeling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets written by Yanan Li and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modeling and Forecasting of Multivariate Stock Market Volatility written by Bastian Gribisch and published by . This book was released on 2013 with total page 183 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Forecasting volatility in European stock markets with non linear GARCH models written by Gianfranco Forte and published by . This book was released on 2002 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Forecasting Financial Volatility written by Zhichao Zhang and published by . This book was released on 2006 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility models and their forecasts are of interest to many types of economic agents, especially for financial risk management. Since 1982 when Engle proposed the Autoregressive Conditionally Heteroscedastic (ARCH) model, there have emerged numerous models for forecasting volatility. Given the vast number of models available, agents must decide which one to use. This paper explores a number of linear and GARCH-type models for predicting the daily volatility of two equity indices in the Chinese stock market. Under the framework of three distributional assumptions, the forecasts are evaluated using traditional metrics and by how they perform in a modern risk management setting - Value at Risk. We find that the relative accuracies of various methods are sensitive to the measure used to evaluate them. However, the worst performing method for forecasting the one-day-ahead volatility in the Shanghai and Shenzhen index is the random walk model.

Download or read book Emerging Financial Markets written by R. Nandagopal and published by Excel Books India. This book was released on 2007 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging Financial Markets' is organized into three sections namely; *) Financial Markets & Instruments, *) Behavioural Finance , *) Banking . The areas covered are Private Banking, Banking, Mutual Funds, Capital Markets, Fixed Income Securities, Behavioral Finance, Insurance, Derivatives and Risk Management. The topics covered will be of use to researchers, managers and consultants. This book will contribute significantly towards the knowledge base and research.

Download or read book Essays on Modelling the Volatility Dynamics and Linkages of Emerging and Frontier Stock Markets written by Habiba Al Mughairi and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: