SPECIFYING THE EFFECTIVE DETERMINANTS OF HOUSE PRICE VOLATILITIES IN IRAN by Murteza Sanjarani Pour, Parviz Nasir Khani, Gholamreza Zamanian, Kamran Barghandan

“…Hence, this study examines the effective determinants of house price volatilities using the Engel Granger cointegration technique after modeling the price volatilities under the E-Garch model for the period 1973-2008 in Iran based on Eviews and Mathematica Software. …”
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SPECIFYING THE EFFECTIVE DETERMINANTS OF HOUSE PRICE VOLATILITIES IN IRAN by Murteza Sanjarani Pour, Parviz Nasir Khani, Gholamreza Zamanian, Kamran Barghandan

“…Hence, this study examines the effective determinants of house price volatilities using the Engel Granger cointegration technique after modeling the price volatilities under the E-Garch model for the period 1973-2008 in Iran based on Eviews and Mathematica Software. …”
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How Energy Sector Reacted to COVID-19 Pandemic? Empirical Evidence from an Emerging Market Economy by Daniel Ştefan Armeanu, Camelia Cătălina Joldeș, Ştefan Cristian Gherghina

“…To accomplish our goal, we used daily data for variables and market indices that characterize COVID-19 and the energy market from July 1 to December 21, 2021. The results of the GARCH (1, 1) model estimation show that the major performer in Romania’s energy allocation and supply market had the highest conditional variance. …”
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Efectividad de la intervención cambiaria en Guatemala by Carlos Eduardo Castillo Maldonado

“…La efectividad de las intervenciones cambiarias de compra y de venta de dólares del Banco de Guatemala se analiza en el contexto de un modelo ACT-GARCH. Con información diaria para el periodo 1996-2008, se concluye que solamente las intervenciones de compra produjeron una disminución de la volatilidad de largo plazo del tipo de cambio quetzal/dólar, pero que ambos tipos de intervención afectaron el quetzal. …”
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Testing financial time series for autocorrelation: Robust Tests by Nelson Omar Muriel Torrero

“…El poder de las pruebas se estudia para alternativas MA y GARCH en la media. Las pruebas exhiben un tamaño muestral apropiado y se comprueba que son más poderosas que la prueba robusta de Box-Pierce para alternativas selectas. …”
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Model Calibration and Validation for the Fuzzy-EGARCH-ANN Model by Geleta T. Mohammed, Jane A. Aduda, Ananda O. Kube

“…This work shown as the fuzzy-EGARCH-ANN (fuzzy-exponential generalized autoregressive conditional heteroscedastic-artificial neural network) model does not require continuous model calibration if the corresponding DE algorithm is used appropriately, but other models such as GARCH, EGARCH, and EGARCH-ANN need continuous model calibration and validation so they fit the data and reality very well up to the desired accuracy. …”
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Cooking Oil Price Volatility in the Consumer Market and Wholesalers Market in Indonesia by Doppy Roy Nendissa, Marthen R. Pellokila

“…Consumer price’s ARCH (α) and GARCH (β) coefficients are 0.569707, and the coefficients for wholesale prices are 1.29 and -0.13 respectively. …”
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Empirical Evidence on Time-Varying Hedging Effectiveness of Emissions Allowances under Departures from the Cost-of-Carry Theory by Kai Chang

“…Under departures from the cost-of-carry theory, traded spot prices and conditional volatility disturbed from futures market have significant impacts on futures price of emissions allowances, and then we propose time-varying hedge ratios and hedging effectiveness estimation using ECM-GARCH model. Our empirical results show that conditional variance, conditional covariance, and their correlation between between spot and futures prices exhibit time-varying trends. …”
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Potential of environmental, social, and governance investment as a hedge in Indonesia during COVID-19 pandemic by Robiyanto Robiyanto, Frieska Dwi Agustina, Intiyas Utami, Budi Frensidy, Andrian Dolfriandra Huruta

“…Using Generalized Autoregressive Conditional Heteroskedasticity (GARCH) and Quantile Regression (QREG) techniques, the study found that ESG investments cannot act as hedge or safe haven in IDX. …”
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Gauging the dynamic interlinkage among robotics, artificial intelligence, and green crypto investment: A quantile VAR approach by Le Thanh Ha

“…In our research, we use a DCC-GARCH copula model to examine time-varying spillover effects and demonstrate interconnections between the development of AI and green cryptocurrencies from January 1, 2018, to September 8, 2023. …”
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Meta Learning Strategies for Comparative and Efficient Adaptation to Financial Datasets by Kubra Noor, Ubaida Fatima

“…These findings highlight the framework’s robustness, scalability, and ability to manage dynamic market behaviors, making it an effective tool for both short-term traders and long-term investors. Compared to LSTM-GARCH, the proposed Meta learning model achieves an RMSE of 0.82 (versus up to 10.11), an MAE of 0.61 (versus up to 8.39), and a DA of 67.33% (versus up to 50.44%).…”
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Testando a Existência de Efeitos Lead-Lag entre os Mercados Acionários Norte-Americano e Brasileiro by Gustavo Rezende de Oliveira, Otavio Ribeiro de Medeiros

“…Através da análise de regressão com vários modelos (regressão linear múltipla, equações simultâneas, VECM e GARCH), constatou-se que o índice Ibovespa é, em grande parte, explicado pelo movimento do Índice Dow Jones em minutos anteriores, divergindo do pressuposto da HME de não previsibilidade de preços. …”
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Spillover of uncertainties of parallel markets on types of profit management with VAR-MGARCH approach by Adel Gardoon, Nader Khedri, Ali Mahmoodi, Mehdi Basert

“…The spillover effect between different markets was observed based on the results of multivariate GARCH models. As a result, the uncertainty of one market strengthens the uncertainty between other markets. …”
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TÜRKİYE’DE DÖVİZ KURU OYNAKLIĞI VE HANEHALKI HARCAMALARI ARASINDAKİ İLİŞKİ by Doç. Dr. Hakan Demirgil, Dr. Öğr. Üyesi Süha Çelikkaya

“…Çalışma verileri1998-2017 yılları arasında üçer aylık periyotlar kullanılarak oluşturulmuştur.Döviz kuru belirsizliğine ait değerlerin elde edilmesinde GARCH modelinden faydalanılmıştır.Reel tüketim harcamaları ve döviz kuru belirsizliği arasındaki nedensellikilişkisini incelemek amacıyla Hacker ve Hatemi-J (2006) simetrik ve Hatemi-J(2012) asimetrik nedensellik testleri uygulanmıştır. …”
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Pay Senedi Endeksleri ile Endeks Vadeli İşlemler Arasındaki Volatilite İlişkisi: Türkiye ve Dünya Örnekleri Arasında Karşılaştırmalı Analiz by Selahattin Koç, Mehmet Eraslan

“…Getiri ve işlem hacimlerine ilişkin oynaklık tahminleri için Otoregresif Koşullu Değişen Varyans (ARCH) Modelleri kullanıldığından, spot endeksler ile endeks vadeli işlemler arasındaki volatilite ilişkisi GARCH, TARCH, EGARCH ve PARCH modelleri ile analiz edilmiştir. …”
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Evaluation of Spatial Spillover Effect of Multidimensional Hybrid Financial Risk Contagion Based on the DAI Spatial Econometric Model by Shanshen Li, Zhonghui Dong

“…This paper proposed to transfer entropy information weight information and introduce the GARCH (generalized auto-regressive conditional heteroskedasticity) model to improve the traditional econometric model. …”
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The dependency structure of international commodity and stock markets after the Russia-Ukraine war. by Cheng Zhang, Shuo Liu, Mimi Qin, Bin Gao

“…In this paper, the marginal density function of each series is constructed using the ARMA-GARCH-std method, and the R-Vine copula model is built based on the marginal density function to analyze the correlation relationship between each market. …”
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Camptocormia as a feature of Mc Ardle's disease: A case report by Mathilde Nicolas, Chloé Giret, Sybille Pellieux, Annick Toutain, Anne-Marie Bergemer-Fouquet, Pascal Laforêt, Loic Bouilleau, François Maillot

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Gelişmekte Olan Piyasaların Zayıf Formda Etkinliği: Koşullu Değişen Varyans Modellerle Haftanın Günü Etkisi Üzerine Ampirik Analiz by Nevzat Aypek, Aykan Coşkun

“…Daha sonra Autoregressive Conditional Heteroskedasticity (Otoregresif Koşullu Değişen Varyans) (ARCH) etkisinin varlığı tespit edildiğinden ARCH-GARCH modellerle tahminler yapılmış, kriterlere göre her bir borsa endeksine ait en uygun model seçilmiştir. …”
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Genomic epidemiology of third-generation cephalosporin-resistant Escherichia coli from companion animals and human infections in Europe by Adrien Biguenet, Benoit Valot, Farid El Garch, Xavier Bertrand, Didier Hocquet

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