Cross-Asset Portfolio Modeling: A Comparative Study of Symmetrical and Asymmetric Dynamic Methods by Dismas Oktavianto, Robiyanto Robiyanto, Andrian Dolfriandra Huruta

“…The stock-gold portfolios formed by utilizing the DCC and ADCC-GARCH methods outperform those composed of only stock. …”
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Dynamics Between Foreign Portfolio Investment, Stock Price and Financial Development in South Africa: A SVAR Approach by Kazeem Abimbola Sanusi, Zandri Dickason-Koekemoer

“…This study uses a structural VAR estimation approach and dynamic conditional correlation (DCC GARCH model). The DCC GARCH approach displays time-varying correlations between stock prices, credit given to the private sector as a measure of financial growth, and foreign portfolio investments. …”
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IMPACT OF COVID-19 PANDEMIC ON STOCK PRICE VOLATILITY OF SUB-SECTOR INDICES IN THE NIGERIAN STOCK EXCHANGE by Oyewale Temilola Christiana, Muftau Adeniyi Ijaiya, Kasali Kayode Rafiu

“…The study employed ex-post facto research design to determine the impact of COVID-19 infection rates and COVID-19 death rates on stock price volatility of sub-sector indices in the Nigeria stock exchange market, within the period of 2nd March 2020 to 28th February, 2022. The study employed GARCH and DCC-GARCH and found that COVID-19 pandemic (infection and death rates) had significant effect on the volatility of sub-sector indices in the Nigeria stock market, and that there was significant volatility transmission among the sub-sector indices of the Nigerian stock market during the COVID-19 pandemic period. …”
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A General Result on the Mean Integrated Squared Error of the Hard Thresholding Wavelet Estimator under α-Mixing Dependence by Christophe Chesneau

“…Applications are given for two types of inverse problems: the deconvolution density estimation and the density estimation in a GARCH-type model, both improve existing results in this dependent context. …”
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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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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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Döviz Kuru Volatilitesinin Katılım Bankalarının Kredileri Üzerine Etkisi by Mercan Hatipoğlu

“…Bu amaç doğrultusunda, GARCH modeli kullanılarak ilk önce dolar kurunun volatilitesi (oynaklık serisi) elde edilmiş daha sonra ise, basit doğrusal regresyon modeli çerçevesinde, kredi büyüme oranları ile dolar kuru volatilitesi arasındaki ilişki analiz edilmiştir. …”
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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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Testing the Adaptive Market Hypothesis and Time-Varying Efficiency in the Indian Equity Market by Nang Biak Sing, Rajkumar Giridhari Singh

“…We apply three variations of the variance ratio test and the returns have been whitened using the Autoregressive model with generalized autoregressive conditional heteroskedasticity (AR-GARCH) approach to examine the nonlinear predictability test. …”
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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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Assessing the risk spillover effects between the Chinese carbon market and the US-China energy market by Jiale Yan, Cem Işık

“…This paper uses the optimal ARMA-GARCH to fit the marginal distribution of each market and selects the optimal Copula function for the calculation of CoVaR to obtain more accurate risk measurement results. …”
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