Open Access
Issue
SHS Web Conf.
Volume 169, 2023
4th International Symposium on Frontiers of Economics and Management Science (FEMS 2023)
Article Number 01077
Number of page(s) 9
DOI https://doi.org/10.1051/shsconf/202316901077
Published online 29 May 2023
  1. Akaike, H. (1974) A new look at the statistical model identification. IEEE transactions on automatic control, 19(6), pp.716-723. [CrossRef] [Google Scholar]
  2. Angabini, A. and Wasiuzzaman, S. (2010) Modeling the effects of the global financial crisis on the Malaysian market. International Journal of Trade, Economics and Finance, 1(4), p.387. [CrossRef] [Google Scholar]
  3. Balaban, E., Bayar, A. and Faff, R.W. (2006) Forecasting stock market volatility: Further international evidence. The European Journal of Finance, 12(2), pp.171-188. [CrossRef] [Google Scholar]
  4. Bollerslev, T. (1986) Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), pp.307-327. [CrossRef] [Google Scholar]
  5. Brailsford, T.J. and Faff, R.W. (1996) An evaluation of volatility forecasting techniques. Journal of Banking & Finance, 20(3), pp.419-438. [CrossRef] [Google Scholar]
  6. Brooks, C. (2019) Introductory Econometrics for Finance (4th ed.). Cambridge: Cambridge University Press. doi:10.1017/9781108524872 [CrossRef] [Google Scholar]
  7. Engle, R.F. (1982) Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the econometric society, pp.987-1007. [CrossRef] [Google Scholar]
  8. Floros, C. (2008) Modelling volatility using GARCH models: evidence from Egypt and Israel. Middle Eastern Finance and Economics, (2), pp.31-41. [Google Scholar]
  9. Glosten, L.R., Jagannathan, R. and Runkle, D.E. (1993) On the relation between the expected value and the volatility of the nominal excess return on stocks. The journal of finance, 48(5), pp.1779-1801. [CrossRef] [Google Scholar]
  10. Gokcan, S. (2000) Forecasting volatility of emerging stock markets: linear versus non-linear GARCH models. Journal of forecasting, 19(6), pp.499-504. [CrossRef] [Google Scholar]
  11. Goldstein, I., Koijen, R.S. and Mueller, H.M. (2021) COVID-19 and its impact on financial markets and the real economy. The Review of Financial Studies, 34(11), pp.5135-5148. [CrossRef] [Google Scholar]
  12. Guidi, F. (2009) Volatility and Long-Term Relations in Equity Markets: Empirical Evidence from Germany, Switzerland, and the UK. IUP Journal of Financial Economics. 7 (2), 7–. [Google Scholar]
  13. Hansen, P.R. and Lunde, A. (2005) A forecast comparison of volatility models: does anything beat a GARCH (1, 1)?. Journal of applied econometrics, 20(7), pp.873-889. [CrossRef] [Google Scholar]
  14. Nelson, D.B. (1991) Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the econometric society, pp.347-370. [CrossRef] [Google Scholar]
  15. Patton, A.J. (2011) Volatility forecast comparison using imperfect volatility proxies. Journal of Econometrics, 160(1), pp.246-256. [CrossRef] [Google Scholar]
  16. Poon, S.H. and Granger, C.W. (2003) Forecasting volatility in financial markets: A review. Journal of economic literature, 41(2), pp.478-539. [CrossRef] [Google Scholar]
  17. Rastogi, S. (2014) The financial crisis of 2008 and stock market volatility–analysis and impact on emerging economies pre and post crisis. Afro-Asian Journal of Finance and Accounting, 4(4), pp.443-459. [CrossRef] [Google Scholar]
  18. Schwarz, G. (1978) Estimating the dimension of a model. The annals of statistics, pp.461-464. [Google Scholar]
  19. Setiawan, B., Ben Abdallah, M., Fekete-Farkas, M., Nathan, R.J. and Zeman, Z. (2021) GARCH (1, 1) models and analysis of stock market turmoil during COVID-19 outbreak in an emerging and developed economy. Journal of Risk and Financial Management, 14(12), p.576. [CrossRef] [Google Scholar]
  20. Shamiri, A. and Hassan, A. (2007) Modeling and Forecasting Volatility of the Malaysian and the Singaporean stock indices using Asymmetric GARCH models and Non-normal Densities. Journal of Malaysian Mathematical Sciences, 1, pp.83-102. [Google Scholar]
  21. Varma, J. R. (1999) “Value at Risk Models in the Indian Stock Market”, Working Paper 99-07-05, Indian Institute of Management, Ahmedabad. [Google Scholar]
  22. Yahoo Finance (2022) S&P 500 (^GSPC). [online] Available at:https://finance.yahoo.com/quote/%5EGSPC/history?period1=1629346477&period2=1660882477&interval=1d&filter=history&frequency=1d&includeAdjustedClose=true. [Accessed: 1 July 2022] [Google Scholar]

Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.

Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.

Initial download of the metrics may take a while.