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Forecasting volatility in the New Zealand stock market

Citations

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Cited by:

  1. Carmen Broto & Esther Ruiz, 2004. "Estimation methods for stochastic volatility models: a survey," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
  2. Johansson, Anders C., 2010. "Asian sovereign debt and country risk," Pacific-Basin Finance Journal, Elsevier, vol. 18(4), pages 335-350, September.
  3. Chortareas, Georgios & Jiang, Ying & Nankervis, John. C., 2011. "Forecasting exchange rate volatility using high-frequency data: Is the euro different?," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1089-1107, October.
  4. Taufiq Choudhry & Hao Wu, 2008. "Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time-varying beta," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(8), pages 670-689.
  5. Sabur Mollah & Asma Mobarek, 2009. "Market volatility across countries – evidence from international markets," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 26(4), pages 257-274, October.
  6. Yu, Jun & Yang, Zhenlin & Zhang, Xibin, 2006. "A class of nonlinear stochastic volatility models and its implications for pricing currency options," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2218-2231, December.
  7. Jun Yu & Renate Meyer, 2006. "Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 361-384.
  8. Oleg Korenok & Stanislav Radchenko, 2005. "The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications," Econometrics 0508015, University Library of Munich, Germany.
  9. Stavros Degiannakis & Evdokia Xekalaki, 2007. "Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models," Applied Financial Economics, Taylor & Francis Journals, vol. 17(2), pages 149-171.
  10. Onour , Ibrahim A., 2021. "Modeling and assessing systematic risk in stock markets in major oil exporting countries," Economic Consultant, Roman I. Ostapenko, vol. 35(3), pages 18-29.
  11. Anders Johansson, 2009. "Stochastic volatility and time-varying country risk in emerging markets," The European Journal of Finance, Taylor & Francis Journals, vol. 15(3), pages 337-363.
  12. Chan, Joshua C.C. & Grant, Angelia L., 2016. "Modeling energy price dynamics: GARCH versus stochastic volatility," Energy Economics, Elsevier, vol. 54(C), pages 182-189.
  13. Onour, Ibrahim, 2009. "Natural Gas markets:How Sensitive to Crude Oil Price Changes?," MPRA Paper 14937, University Library of Munich, Germany.
  14. M. Hakan Eratalay, 2016. "Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study," International Econometric Review (IER), Econometric Research Association, vol. 8(2), pages 19-52, September.
  15. Sadorsky, Perry, 2006. "Modeling and forecasting petroleum futures volatility," Energy Economics, Elsevier, vol. 28(4), pages 467-488, July.
  16. Sibel Celik, 2013. "Testing the Stability of Beta: A Sectoral Analysis in Turkish Stock Market," Journal of Economics and Behavioral Studies, AMH International, vol. 5(1), pages 18-23.
  17. Virbickaitė, Audronė & Nguyen, Hoang & Tran, Minh-Ngoc, 2023. "Bayesian predictive distributions of oil returns using mixed data sampling volatility models," Resources Policy, Elsevier, vol. 86(PA).
  18. Bulla, Jan & Bulla, Ingo, 2006. "Stylized facts of financial time series and hidden semi-Markov models," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2192-2209, December.
  19. Vo, Minh T., 2009. "Regime-switching stochastic volatility: Evidence from the crude oil market," Energy Economics, Elsevier, vol. 31(5), pages 779-788, September.
  20. Kreuzer, Alexander & Czado, Claudia, 2021. "Bayesian inference for a single factor copula stochastic volatility model using Hamiltonian Monte Carlo," Econometrics and Statistics, Elsevier, vol. 19(C), pages 130-150.
  21. Hang Qian, 2014. "A Flexible State Space Model And Its Applications," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(2), pages 79-88, March.
  22. Bruno Solnik & Thaisiri Watewai, 2016. "International Correlation Asymmetries: Frequent-but-Small and Infrequent-but-Large Equity Returns," PIER Discussion Papers 31, Puey Ungphakorn Institute for Economic Research.
  23. Jian Zhou & Zhixin Kang, 2011. "A Comparison of Alternative Forecast Models of REIT Volatility," The Journal of Real Estate Finance and Economics, Springer, vol. 42(3), pages 275-294, April.
  24. Dr. Ibrahim Onour, "undated". "The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries," API-Working Paper Series 1009, Arab Planning Institute - Kuwait, Information Center.
  25. Virbickaitė, Audronė & Frey, Christoph & Macedo, Demian N., 2020. "Bayesian sequential stock return prediction through copulas," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
  26. Joonhyuck Lee & Dongsik Jang & Sangsung Park, 2017. "Deep Learning-Based Corporate Performance Prediction Model Considering Technical Capability," Sustainability, MDPI, vol. 9(6), pages 1-12, May.
  27. E.B. Nkemnole & J.T. Wulu, 2017. "Modeling of stock indices with HMM-SV models," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(2(611), S), pages 45-60, Summer.
  28. Bruno Solnik & Thaisiri Watewai, 2016. "International Correlation Asymmetries: Frequent-but-Small and Infrequent-but-Large Equity Returns," PIER Discussion Papers 31., Puey Ungphakorn Institute for Economic Research, revised Jun 2016.
  29. Manel Hamdi & Walid Chkili, 2019. "An artificial neural network augmented GARCH model for Islamic stock market volatility: Do asymmetry and long memory matter?," Working Papers 13, Economic Research Forum, revised 21 Aug 2019.
  30. Ana Filipa Carvalho & Jose Sa da Costa & Jose Assis Lopes, 2006. "A systematic modelling strategy for futures markets volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 16(11), pages 819-833.
  31. Linlan Xiao, 2013. "Realized volatility forecasting: empirical evidence from stock market indices and exchange rates," Applied Financial Economics, Taylor & Francis Journals, vol. 23(1), pages 57-69, January.
  32. Асатуров К.Г., 2015. "Динамические Модели Систематического Риска: Сравнение На Примере Индийского Фондового Рынка," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 51(4), pages 59-75, октябрь.
  33. Eduardo Ortas & José Moneva & Roger Burritt & Joanne Tingey-Holyoak, 2014. "Does Sustainability Investment Provide Adaptive Resilience to Ethical Investors? Evidence from Spain," Journal of Business Ethics, Springer, vol. 124(2), pages 297-309, October.
  34. Ortas, E. & Salvador, M. & Moneva, J.M., 2015. "Improved beta modeling and forecasting: An unobserved component approach with conditional heteroscedastic disturbances," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 27-51.
  35. Mircea ASANDULUI, 2012. "A Multi-Horizon Comparison Of Volatility Forecasts: An Application To Stock Options Traded At Euronext Exchange Amsterdam," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 10, pages 179-190, December.
  36. Ortas, Eduardo & Moneva, José M. & Salvador, Manuel, 2012. "Does socially responsible investment equity indexes in emerging markets pay off? Evidence from Brazil," Emerging Markets Review, Elsevier, vol. 13(4), pages 581-597.
  37. Malay Bhattacharyya & Dileep Kumar M & Ramesh Kumar, 2009. "Optimal sampling frequency for volatility forecast models for the Indian stock markets," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(1), pages 38-54.
  38. Lin, Yongjia & Wang, Yizhi & Fu, Xiaoqing (Maggie), 2022. "Margin purchases, short sales and stock return volatility in China: Evidence from the COVID-19 outbreak," Finance Research Letters, Elsevier, vol. 46(PA).
  39. Joonhyuck Lee & Gabjo Kim & Sangsung Park & Dongsik Jang, 2016. "Hybrid Corporate Performance Prediction Model Considering Technical Capability," Sustainability, MDPI, vol. 8(7), pages 1-13, July.
  40. Neha Saini & Anil Kumar Mittal, 2019. "On the predictive ability of GARCH and SV models of volatility: An empirical test on the SENSEX index," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 8(4), pages 1-5.
  41. Ibrahim Onour, "undated". "Exploring Stability of Systematic Risk: Sectoral Portfolio Analysis," API-Working Paper Series 1002, Arab Planning Institute - Kuwait, Information Center.
  42. Dima Alberg & Haim Shalit & Rami Yosef, 2008. "Estimating stock market volatility using asymmetric GARCH models," Applied Financial Economics, Taylor & Francis Journals, vol. 18(15), pages 1201-1208.
  43. Stavros Degiannakis & Alexandra Livada & Epaminondas Panas, 2008. "Rolling-sampled parameters of ARCH and Levy-stable models," Applied Economics, Taylor & Francis Journals, vol. 40(23), pages 3051-3067.
  44. Romero, Eva, 2024. "Fitting complex stochastic volatility models using Laplace approximation," DES - Working Papers. Statistics and Econometrics. WS 43947, Universidad Carlos III de Madrid. Departamento de Estadística.
  45. Shieh-Liang Chen & Shian-Chang Huang & Yi-Mien Lin, 2007. "Using multivariate stochastic volatility models to investigate the interactions among NASDAQ and major Asian stock indices," Applied Economics Letters, Taylor & Francis Journals, vol. 14(2), pages 127-133.
  46. Reschenhofer, Erhard & Mangat, Manveer Kaur & Stark, Thomas, 2020. "Volatility forecasts, proxies and loss functions," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 133-153.
  47. Ercan Balaban & Asli Bayar & Robert Faff, 2006. "Forecasting stock market volatility: Further international evidence," The European Journal of Finance, Taylor & Francis Journals, vol. 12(2), pages 171-188.
  48. Wang, Nianling & Lou, Zhusheng, 2023. "Sequential Bayesian analysis for semiparametric stochastic volatility model with applications," Economic Modelling, Elsevier, vol. 123(C).
  49. Ashish Kumar, 2015. "Impact of Currency Futures on Volatility in Exchange Rate," Paradigm, , vol. 19(1), pages 95-108, June.
  50. Onour, Ibrahim, 2008. "Forward-Looking Beta Estimates:Evidence from an Emerging Market," MPRA Paper 14992, University Library of Munich, Germany.
  51. Reza Tajaddini & Timothy Falcon Crack & Helen Roberts, 2015. "Price and Earnings Momentum, Transaction Costs, and an Innovative Practitioner Technique," International Review of Finance, International Review of Finance Ltd., vol. 15(4), pages 555-597, December.
  52. Didit Budi Nugroho & Takayuki Morimoto, 2019. "Incorporating Realized Quarticity into a Realized Stochastic Volatility Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(4), pages 495-528, December.
  53. Cheng, Ai-ru (Meg) & Gallant, A. Ronald & Ji, Chuanshu & Lee, Beom S., 2008. "A Gaussian approximation scheme for computation of option prices in stochastic volatility models," Journal of Econometrics, Elsevier, vol. 146(1), pages 44-58, September.
  54. Guidi, Francesco, 2010. "Modelling and forecasting volatility of East Asian Newly Industrialized Countries and Japan stock markets with non-linear models," MPRA Paper 19851, University Library of Munich, Germany.
  55. Joel Hinaunye Eita & Charles Raoul Tchuinkam Djemo, 2022. "Quantifying Foreign Exchange Risk in the Selected Listed Sectors of the Johannesburg Stock Exchange: An SV-EVT Pairwise Copula Approach," IJFS, MDPI, vol. 10(2), pages 1-29, April.
  56. Georgios Chortareas & John Nankervis & Ying Jiang, 2007. "Forecasting Exchange Rate Volatility with High Frequency Data: Is the Euro Different?," Money Macro and Finance (MMF) Research Group Conference 2006 79, Money Macro and Finance Research Group.
  57. Sharma, Prateek & Vipul,, 2016. "Forecasting stock market volatility using Realized GARCH model: International evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 222-230.
  58. Jinzhi Li, 2021. "Bayesian estimation of the stochastic volatility model with double exponential jumps," Review of Derivatives Research, Springer, vol. 24(2), pages 157-172, July.
  59. Virbickaitė, Audronė & Ausín, M. Concepción & Galeano, Pedro, 2020. "Copula stochastic volatility in oil returns: Approximate Bayesian computation with volatility prediction," Energy Economics, Elsevier, vol. 92(C).
  60. Wu, Xinyu & Wang, Xiaona, 2020. "Forecasting volatility using realized stochastic volatility model with time-varying leverage effect," Finance Research Letters, Elsevier, vol. 34(C).
  61. Jonathan Haynes & Daniel Schmitt & Lukas Grimm, 2019. "Estimating stochastic volatility: the rough side to equity returns," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 449-469, December.
  62. Sen, Chitrakalpa & Chakrabarti, Gagari, 2024. "Beyond the glitter: An empirical assessment of the true risk and hedging role of precious metals," Resources Policy, Elsevier, vol. 96(C).
  63. Mário Correia Fernandes & José Carlos Dias & João Pedro Vidal Nunes, 2024. "Performance comparison of alternative stochastic volatility models and its determinants in energy futures: COVID‐19 and Russia–Ukraine conflict features," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(3), pages 343-383, March.
  64. Balli, Hatice Ozer & Tsui, Wai Hong Kan & Balli, Faruk, 2019. "Modelling the volatility of international visitor arrivals to New Zealand," Journal of Air Transport Management, Elsevier, vol. 75(C), pages 204-214.
  65. Henri Karttunen, 2020. "An autoregressive model based on the generalized hyperbolic distribution," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(3), pages 787-816, September.
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