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Volatility Modeling And Forecasting Of The Egyptian Stock Market Index Using Arch Models
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Book Synopsis Volatility Modeling and Forecasting of the Egyptian Stock Market Index Using Arch Models by : Said T. Ebeid
Download or read book Volatility Modeling and Forecasting of the Egyptian Stock Market Index Using Arch Models written by Said T. Ebeid and published by . This book was released on 2020 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper estimates and evaluates the forecasting performance of four alternative ARCH-type Models for predicting stock price index volatility using daily Egyptian data. The competing Models include GARCH, EGARCH, GJR and APAPCH used with four different distributions, Gaussian normal, Student-t, Generalized Error Distribution and skewed Student-t. The estimation results show that the forecasting performance of asymmetric GARCH Models (GJR and APARCH), especially when fat-tailed asymmetric densities are taken into account in the conditional volatility, is better than symmetric GARCH. Moreover, it is found that the APAPCH (1,1) Model Provides the best out-of-sample forecasts among all the candidate Models and the skewed Student-t density is more appropriate for modeling the Egyptian stock market index volatility.
Book Synopsis Modeling and Forecasting Time Varying Stock Return Volatility in the Egyptian Stock Market by : Moustafa Ahmed AbdElaal
Download or read book Modeling and Forecasting Time Varying Stock Return Volatility in the Egyptian Stock Market written by Moustafa Ahmed AbdElaal and published by . This book was released on 2015 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the performance of five models for forecasting the Egyptian stock market return volatility. We used the period from 1 January, 1998 until 31 December, 2009 as an in-sample period. We used also the next 30 days after the in-sample period to be our out-of-sample period. The competing models are: EWMA, ARCH, GARCH, GJR, and EGARCH. We examined also the ARCH effect to test the validity of using GARCH family to predict the volatility of market indices. The empirical results show that EGARCH is the best model between the examined models according to the usual evaluating statistical metrics (RMSN, MAE, and MAPE). When we used Diebold and Mariano (DM) test to examine the significance of the difference between errors of volatility forecasting models, we found no significance difference between the errors of competing models. The results also reject the null hypothesis of homoscedastic normal process for both EGX30 and CIBC100 indices.
Book Synopsis Volatility Modeling and Forecasting for NIFTY Stock Returns by : Gurmeet Singh
Download or read book Volatility Modeling and Forecasting for NIFTY Stock Returns written by Gurmeet Singh and published by . This book was released on 2016 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, an attempt has been made to model the volatility of NIFTY index of National Stock Exchange (NSE) and forecast the NIFTY stock returns for short term by using daily data ranging from January, 2000, to December, 2014, which comprises 3736 data points for the analysis by using Box-Jenkins or ARIMA model. The volatility in the Indian stock market exhibits characteristics similar to those found earlier in many of the major developed and emerging stock markets. It is shown that ARCH family models outperform the conventional OLS models. ADF test and unit root testing is done to know the stationarity of the series, later the AR(p) and MA(q) orders are identified with the help of minimum information criterion as suggested by Hannan-Rissanen. As per the analysis, ARIMA (1,0,1) model was found to be the best fit to forecast the volatility of NIFTY stock returns. The model can be used by the investors to forecast the short run NIFTY stock returns and for making more profitable and less risky investments decision.
Book Synopsis The Egyptian Stock Market by : Mr.Mauro Mecagni
Download or read book The Egyptian Stock Market written by Mr.Mauro Mecagni and published by International Monetary Fund. This book was released on 1999-04-01 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper examines the behavior of stock returns in the Egyptian stock exchange, the efficiency of the market in pricing securities, and the relationship between returns and conditional volatility. GARCH(p,q)-M models estimated for the four best known daily indices indicate significant departures from the efficient market hypothesis; the tendency for returns to exhibit volatility clustering; and a significant positive link between risk and returns, which was significantly affected during the market downturn that followed the introduction of circuit breakers in the form of symmetric price limits on individual shares.
Book Synopsis Predictive Ability of Asymmetric Volatility Models at Medium-Term Horizons by : Turgut Kisinbay
Download or read book Predictive Ability of Asymmetric Volatility Models at Medium-Term Horizons written by Turgut Kisinbay and published by International Monetary Fund. This book was released on 2003-06 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility from linear GARCH models with asymmetric ones. We consider horizons extending to 30 days. Forecasts are compared using three different evaluation tests. With data from an equity index and two foreign exchange returns, we show that asymmetric models provide statistically significant forecast improvements upon the GARCH model for two of the datasets and improve forecasts for all datasets by means of forecasts combinations. These results extend to about 10 days in the future, beyond which the forecasts are statistically inseparable from each other.
Book Synopsis Modeling Stochastic Volatility with Application to Stock Returns by : Mr.Noureddine Krichene
Download or read book Modeling Stochastic Volatility with Application to Stock Returns written by Mr.Noureddine Krichene and published by International Monetary Fund. This book was released on 2003-06-01 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was consistent with both volatility clustering and mean reversion. Filtering showed highly volatile markets, reflecting frequent pertinent news. Diagnostics showed no model failure, although specification improvements were always possible. The model corroborated stylized findings in volatility modeling and has potential value for market participants in asset pricing and risk management, as well as for policymakers in the design of macroeconomic policies conducive to less volatile financial markets.
Book Synopsis Modeling and forecasting Egyptian stock market volatility before and after price limits by : Eskandar A. Tooma
Download or read book Modeling and forecasting Egyptian stock market volatility before and after price limits written by Eskandar A. Tooma and published by . This book was released on 2003 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Modeling the Egyptian Stock Market Volatility Pre- and Post Circuit Breaker by : Eskandar A. Tooma
Download or read book Modeling the Egyptian Stock Market Volatility Pre- and Post Circuit Breaker written by Eskandar A. Tooma and published by . This book was released on 2009 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Circuit breakers (price limits and trading halts) are regulatory instruments aiming to reduce severe price volatility and provide markets with a cooling off period. The paper investigated empirically, using daily returns of two Egyptian Stock Market indices the Hermes Financial Index (HFI) and the Egyptian Financial Group Index (EFGI) during the period January 1993 - December 2001, the impact of regulatory policies on conditional volatility estimation. The paper examined four models GARCH, EGARCH, GJR, and APARCH under variety of density functions (Gaussian normal distribution, Student-t distribution, Skewed Student-t and Generalized Exponential Distribution (GED)). The empirical evidence provided in this paper confirms Mecagni and Sourial (1999) findings that the symmetric price limits on individual shares failed to dampen volatility in the market. Furthermore, regulatory and/or structural shifts in the market results in different conditional volatility model structure and using asymmetric models for conditional volatility estimation rather than symmetric models provide better results.
Book Synopsis Non-Linear Time Series Models in Empirical Finance by : Philip Hans Franses
Download or read book Non-Linear Time Series Models in Empirical Finance written by Philip Hans Franses and published by Cambridge University Press. This book was released on 2000-07-27 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 2000 volume reviews non-linear time series models, and their applications to financial markets.
Book Synopsis Stock Market Volatility by : Greg N. Gregoriou
Download or read book Stock Market Volatility written by Greg N. Gregoriou and published by CRC Press. This book was released on 2009-04-08 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
Book Synopsis Long Memory Process in the Egyptian Stock Market by : Maged S. Sourial
Download or read book Long Memory Process in the Egyptian Stock Market written by Maged S. Sourial and published by . This book was released on 2002 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper focuses on the Egyptian Stock Market, revisiting the issue of volatility persistence in stock market returns. Previously, Mecagni and Sourial (1999) using AR(1)-GARCH(p,q)-M provided evidence that the effect of shocks to volatility tends to decay within few time lags and the duration of the shock last for only few days. These results had been confirmed by Moursi (1999), using volatility-switching GARCH model, stating that excessive returns volatility should not pose serious threats to the ESM. The investigation has been approached empirically different, testing for presence of fractional dynamics i.e. long memory in ESM's returns, using two methodologies Fractional ARIMA (ARFIMA) and Fractional Integrated GARCH (FIGARCH) models. The investigation is conducted using Egypt's IFC-Global index weekly returns during the period January 1996 till end of June 2001. The empirical results provided evidence that ESM's weekly returns exhibit fractional dynamics with long-memory features.
Book Synopsis Forecasting Daily Stock Volatility Using GARCH Model by : Sasikanta Tripathy
Download or read book Forecasting Daily Stock Volatility Using GARCH Model written by Sasikanta Tripathy and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling and forecasting the volatility of stock markets has been one of the major topics in financial econometrics in recent years. Based on the daily closing value of 23 years data, an average of 5,605 observations, for both Sensex and Shanghai Stock Exchange Composite Index, this paper makes an attempt to fit appropriate GARCH model to estimate the conditional market volatility for both Bombay Stock Exchange (BSE) and Shanghai Stock Exchange (SSE), respectively. The empirical results demonstrate that there are significant ARCH effects in both the stock markets, and it is appropriate to use the GARCH model to estimate the process.
Book Synopsis Application of GARCH Models for Modeling Stock Market Volatility by : Shabarisha N.
Download or read book Application of GARCH Models for Modeling Stock Market Volatility written by Shabarisha N. and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Return is the major attribute of an investment asset which can be construed as a random variable, and the 'variability in return' can be interpreted as volatility. Forecasting volatility and modeling it are the most prolific areas for research. This paper empirically investigates the conditional variance (volatility) pattern in Indian stock market based on financial time series data that consists of daily closing prices of CNX Nifty 50 market index for 10 years from April 2006 to March 2016. For the purpose of estimating conditional variance (volatility) in the daily returns of the index, Autoregressive Conditional Heteroskedasticity (ARCH) models are employed. Both symmetric and asymmetric models are used to capture stylized facts about CNX Nifty 50 market index returns such as volatility clustering and leverage effect. The findings of the study show that the asymmetric models are a better fit than symmetric models, confirming the presence of volatility clustering and leverage effect.
Book Synopsis Forecasting Daily Volatility of Foreign Exchange Markets by : Ye-Hsing Lai
Download or read book Forecasting Daily Volatility of Foreign Exchange Markets written by Ye-Hsing Lai and published by . This book was released on 1993 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Econometric Modelling of Stock Market Intraday Activity by : Luc Bauwens
Download or read book Econometric Modelling of Stock Market Intraday Activity written by Luc Bauwens and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the past 25 years, applied econometrics has undergone tremen dous changes, with active developments in fields of research such as time series, labor econometrics, financial econometrics and simulation based methods. Time series analysis has been an active field of research since the seminal work by Box and Jenkins (1976), who introduced a gen eral framework in which time series can be analyzed. In the world of financial econometrics and the application of time series techniques, the ARCH model of Engle (1982) has shifted the focus from the modelling of the process in itself to the modelling of the volatility of the process. In less than 15 years, it has become one of the most successful fields of 1 applied econometric research with hundreds of published papers. As an alternative to the ARCH modelling of the volatility, Taylor (1986) intro duced the stochastic volatility model, whose features are quite similar to the ARCH specification but which involves an unobserved or latent component for the volatility. While being more difficult to estimate than usual GARCH models, stochastic volatility models have found numerous applications in the modelling of volatility and more particularly in the econometric part of option pricing formulas. Although modelling volatil ity is one of the best known examples of applied financial econometrics, other topics (factor models, present value relationships, term structure 2 models) were also successfully tackled.
Book Synopsis Using High Frequency Stock Market Index Data to Calculate, Model & Forecast Realized Return Variance by : Roel C. A. Oomen
Download or read book Using High Frequency Stock Market Index Data to Calculate, Model & Forecast Realized Return Variance written by Roel C. A. Oomen and published by . This book was released on 2001 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Modelling and Forecasting Exchange-rate Volatility with ARCH-type Models by : J. Kaehler
Download or read book Modelling and Forecasting Exchange-rate Volatility with ARCH-type Models written by J. Kaehler and published by . This book was released on 1991 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
