Download or read book Forecasting Stock Market Volatility with Macroeconomic Variables in Real Time written by Jörg Döpke and published by . This book was released on 2006 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock Market Analysis Volatility Forcasting and Effect of Macroeconomic Variables written by and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Financial Volatility and Real Economic Activity written by Kevin Daly and published by Routledge. This book was released on 2019-01-15 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt: Published in 1999. The issue of financial volatility, especially since financial deregulation, has given rise to concerns regarding the effects of increased financial volatility on real economic activity. Two issues represent a substantial challenge to financial economists with respect to these concerns. The first relates to the identification of the causes of increased volatility in financial markets. Identification is a first step towards increasing both financial economists' and policy-makers' understanding of the interrelated causes of financial volatility. The second requires linking the effects of increased financial volatility to the real sector of the economy by examining the channels through which financial volatility influences fundamental economic variables. In order to address these two issues, the analysis initially develops and estimates a model which is capable of explaining the financial and business cycle determinates of movements in the conditional volatility of the Australian All Industrials stock market index. Evidence suggests that a significant linkage exists between the conditional volatility of the money supply. Models are then developed to examine how monetary volatility is transmitted to the volatility of financial asset prices, inflation and real output in an open economy. The results indicate that while financial volatility has increased to some extent since the late 1980s, this has been transferred non-uniformly towards increasing volatility of both real and financial activity.
Download or read book Financial Information and Macroeconomic Forecasts written by Sophia Chen and published by International Monetary Fund. This book was released on 2016-12-23 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the forecasting power of financial variables for macroeconomic variables for 62 countries between 1980 and 2013. We find that financial variables such as credit growth, stock prices and house prices have considerable predictive power for macroeconomic variables at one to four quarters horizons. A forecasting model with financial variables outperforms the World Economic Outlook (WEO) forecasts in up to 85 percent of our sample countries at the four quarters horizon. We also find that cross-country panel models produce more accurate out-of-sample forecasts than individual country models.
Download or read book Forecasting Stock Market Volatility with Macroeconomic Variables in Real Time written by Jörg Döpke and published by . This book was released on 2016 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: We compared forecasts of stock market volatility based on real-time and revised.
Download or read book MacRoeconomic Variables and Stock Return Volatility written by Shahzad Anjum and published by LAP Lambert Academic Publishing. This book was released on 2012-04 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: The increasing importance of Stock markets around the world has recently opened a new avenue of research into the relationships between Stock Market and Macroeconomic Variables. It is now a highly debatable area that stock market contributes to economic growth or the other way economic growth contributes to stock market. Researchers continuously make efforts on defining the relationship of stock market and macroeconomic variables. It has now become more difficult to define the relationships between them in the context of increased scarcity of resources, bilateral and multilateral free trade agreements, economic crises, rapidly changing political scenarios and high uncertainty and risks due to world wide terrorist activities. This book provides an insight into the stock market of Pakistan with special focus on macroeconomic variables like inflation, GDP etc effecting the Karachi Stock Exchange (KSE).
Download or read book Volatility and Time Series Econometrics written by Tim Bollerslev and published by OUP Oxford. This book was released on 2010-02-11 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some the leading academic researchers in the fields of time series econometrics, forecasting, volatility modelling, financial econometrics and urban economics, along with historical perspectives related to field of time series econometrics more generally. Engle's Nobel Prize citation focuses on his path-breaking work on autoregressive conditional heteroskedasticity (ARCH) and the profound effect that this work has had on the field of financial econometrics. Several of the chapters focus on conditional heteroskedasticity, and develop the ideas of Engle's Nobel Prize winning work. Engle's work has had its most profound effect on the modelling of financial variables and several of the chapters use newly developed time series methods to study the behavior of financial variables. Each of the 16 chapters may be read in isolation, but they all importantly build on and relate to the seminal work by Nobel Laureate Robert F. Engle.
Download or read book Forecasting the Volatility of Stock Market and Oil Futures Market written by Dexiang Mei and published by Scientific Research Publishing, Inc. USA. This book was released on 2020-12-17 with total page 139 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volatility has been one of the cores of the financial theory research, in addition to the stock markets and the futures market are an important part of modern financial markets. Forecast volatility of the stock market and oil futures market is an important part of the theory of financial markets research.
Download or read book The Impact of Macroeconomic Variables on Stock Market Volatility written by Sarod Khandaker and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Using data from ten developed and seven emerging countries, we analyse stock market's volatility and the macroeconomic factors that influence stock market's volatility from January 2001 till December 2012. We use standard historical volatility model followed by Jones et al. (1998) and Andersen and Bollerslev (1998) to calculate the historical stock market's volatility for the sample countries. Our results show that stock markets of the sample countries are volatile during the Global Financial Crisis (GFC) and these effects are statistically significant for the emerging county group. Selected macroeconomic variables and corporate governance indicators, such as rule of law, regulatory control and GDP per capita are positively associate with the stock market volatility, and corruption perception index and budget deficits are negatively correlated. Other macroeconomic variables such as, Co2 emission, tax revenue, agricultural value added and tourism receipt also found significant in the analysis. This suggests our sample emerging markets were volatile during 2007-2009 not only because of the GFC but also for the other macroeconomic factors. The robustness tests also produce a similar result with little variation.
Download or read book Macroeconomic Determinants of the Stock Market Movements written by Mofleh Ali Mofleh Alshogeathri and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation investigates the long run and short run relationships between Saudi stock market returns and eight macroeconomic variables. We investigate the ability of these variables to predict the level and volatility of Saudi stock market returns. A wide range of Vector autoregression (VAR) and generalized autoregressive conditional heteroskedasticity (GARCH) models estimated and interpreted. A Johansen-Juselius cointegration test indicates a positive long run relationship between the Saudi stock price index and the M2 money supply, bank credit, and the price of oil, and a negative long run relationship with the M1 money supply, the short term interest rate, inflation, and the U.S. stock market. An estimated vector error correction model (VECM) suggests significant unidirectional short run causal relationships between Saudi stock market returns and the money supply and inflation. The VECM also finds a significant long run causal relationship among the macroeconomic variables in the system. The estimated speed of adjustment indicates that the Saudi stock market converges to the equilibrium within half a year. Granger causality tests show no causal relationship between Saudi stock market returns and the exchange rate. Impulse response function analysis shows no significant relationship between Saudi stock market returns and the macroeconomic variables. Forecast error variance decompositions suggest that 89% of the variation in Saudi stock market returns is attributable to its own shock, which implies that Saudi stock market returns are largely independent of the macroeconomic variables in the system. Finally, a GARCH-X model indicates a significant relationship between volatility of Saudi stock returns and short run movements of macroeconomic variables. Implications of this study include the following. (i) Prediction of stock market returns becomes more difficult as the volatility of the macroeconomic variables increases in the short run. (ii) Investors should look at the systematic risks revealed by these macroeconomic variables when structuring their portfolios and diversification strategies. (iii) Policymakers should seek to minimize macroeconomic fluctuations considering the effect of macroeconomic variables changes on the stock market when formulating economic policy.
Download or read book Nexus Between Stock Price Volatility and Selected Macroeconomic Variables written by Dr. P. Karthika and published by . This book was released on 2017 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: India is taken into account a high potential investment destination all-over the world even though it has some challenges like political, social, cultural complexities.Wide literature survey is available on the macroeconomic factors affecting the Indian stock market volatility. There is a general belief on macroeconomic variable affects the functioning of stock market and its volatility (PallaviKudal 2010). In developing countries like India stock markets are sensitive to change in the macroeconomic variable. It is presumed that domestic economic fundamentals affect performance of the stock market but the changes in domestic variables may occur due to the changes in the global environment. This stimulates the researcher to find out whether the macroeconomic variable changes create any volatility in the Indian stock market. This study used the average monthly closing price of Nifty 50 from June 2000 to December 2016 and the average monthly data of 12 macroeconomic variables for analyzing, which factors influence the performance of Nifty 50 in India. In this study the selected variables are grouped into three factors by using factor analysis and named as macro environment factors, industrial performance factor and policy rates. The empirical result shows that macro environments and industrial performance factors are used to predict the variance in Nifty 50.
Download or read book Stock Market Or Macroeconomic Volatility An Econometric Approach written by Kaya Tokmakcioglu and published by LAP Lambert Academic Publishing. This book was released on 2013 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 2007, as the US subprime mortgage market began to fall down, which reached its peak with the catastrophic collapse of the Lehman Brothers, no one was aware of that this was going to be the worst financial crisis since the Great Depression. Evaluating the advantages and disadvantages connected with financial globalization demands a pure understanding of the influence of international market integration and financial volatility. This work therefore focuses on the analysis of the integration of stock markets and forecast performances of stock market and macroeconomic volatility for the period of last global, financial crisis. It has explores the effects of financial volatility during the last global crisis. Moreover, it underlies the importance of stock market volatility during financial crises and introduces another important tool to assess the volatility clustering behavior, namely macroeconomic volatility.
Download or read book Realized Range Volatility Forecasting written by Massimiliano Caporin and published by . This book was released on 2013 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we estimate, model and forecast Realized Range Volatility, a realized measure and estimator of the quadratic variation of financial prices. This quantity was early introduced in the literature and it is based on the high-low range observed at high frequency during the day. We consider the impact of the microstructure noise in high frequency data and correct our estimations, following a known procedure. Then, we model the Realized Range accounting for the well-known stylized effects present in financial data and we investigate the role that macroeconomic and financial variables play when forecasting daily stocks volatility. We consider an HAR model with asymmetric effects with respect to the volatility and the return, and GARCH and GJR specifications for the variance equation. Moreover, we consider a non Gaussian distribution for the innovations. Finally, we extend the model including macroeconomic and financial variables that capture present and the future state of the economy. We find that these variables are significantly correlated with the first common component of the volatility series and they have a highly in-sample explanatory power. The analysis of the forecast performance in 16 NYSE stocks suggests that the introduction of asymmetric effects with respect to the returns and the volatility in the HAR model result in significant improvement in the point forecasting accuracy as well and the variables related with the U.S stock market performance and proxies for the credit risk.
Download or read book Volatility Forecasting and the Macroeconomic Impact on Returns and Volatility of Returns written by Tomasz Bielawski and published by . This book was released on 2012 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Modelling Financial Time Series written by Stephen J. Taylor and published by World Scientific. This book was released on 2008 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains several innovative models for the prices of financial assets. First published in 1986, it is a classic text in the area of financial econometrics. It presents ARCH and stochastic volatility models that are often used and cited in academic research and are applied by quantitative analysts in many banks. Another often-cited contribution of the first edition is the documentation of statistical characteristics of financial returns, which are referred to as stylized facts. This second edition takes into account the remarkable progress made by empirical researchers during the past two decades from 1986 to 2006. In the new Preface, the author summarizes this progress in two key areas: firstly, measuring, modelling and forecasting volatility; and secondly, detecting and exploiting price trends. Sample Chapter(s). Chapter 1: Introduction (1,134 KB). Contents: Features of Financial Returns; Modelling Price Volatility; Forecasting Standard Deviations; The Accuracy of Autocorrelation Estimates; Testing the Random Walk Hypothesis; Forecasting Trends in Prices; Evidence Against the Efficiency of Futures Markets; Valuing Options; Appendix: A Computer Program for Modelling Financial Time Series. Readership: Academic researchers in finance & economics; quantitative analysts.
Download or read book Stock Market Analysis Volatility Forecasting and Effect of Macroeconimic Variables written by Yixiu Zhao and published by . This book was released on 2018 with total page 440 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock Market Volatility and Corporate Investment written by Zuliu Hu and published by International Monetary Fund. This book was released on 1995-10-01 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite concerns are often voiced on the so called “excess volatility” of the stock market, little is known about the implications of market volatility for the real economy. This paper examines whether the stock market volatility affects real fixed investment. The empirical evidence obtained from the US data shows that market volatility has independent effects on investment over and above that of stock returns. Volatility and its changes are negatively related to investment growth. To the extent volatility depresses fixed capital formation and hence future income growth, the results suggest the desirability of reducing stock market volatility.
