13 articles for “GARCH model”

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Research ArticleOpen accessIn the abstractFORECASTING RETURNS FOR THE STOCK EXCHANGE OF THAILAND INDEX USING MULTIPLE REGRESSION BASED ON PRINCIPAL COMPONENT ANALYSISNop Sopipan, Anchalee Sattayatham, Samruam ChongcharoenThe aim of this study was to forecast the returns for the Stock Exchange of Thailand (SET) Index by adding some explanatory variables and stationary Autoregressive Moving-Average order p and q (ARMA (p, q)) in the mean equation of returns. In addition, we used Principal Component Analysis (PCA) to remove possible complications caused by multicollinearity. Afterwards, we forecast the volatility … …Journal of Mathematics and Statistics, Vol. 9, Issue 1 · 18 Mar 2013 · 7,438 accessesView PDF Cite

Research ArticleOpen accessIn the abstractInvestigation of Socially Responsible Investment Markets (SRI) Using Dynamic Conditional Correlation (DCC) Method: Implications for DiversificationGurudeo Anand Tularam, Eduardo Roca, Victor Siew Howe WongProblem statement: Over the last ten years there has been a phenomenal growth in the amount of funds placed in SRI globally estimated to be around US$6.5 trillion while around US$55 billion in the Australian market. Accurate knowledge of correlation of the Australian SRI market with other SRI markets overseas is crucially important for Australian (SRI) investors for international portfolio … …Journal of Mathematics and Statistics, Vol. 6, Issue 4 · 4 Nov 2010 · 16,234 accessesView PDF Cite

Research ArticleOpen accessIn the abstractAre There Smaller Leverage Effects in Less-Developed Markets? Evidence from an Oil Exporting CountryMosayeb Phalavani, Parinaz EzzatiProblem statement: This study uses daily data from the Tehran Stock Market (TSM) to illustrate the nature of stock market volatility in an undeveloped and young stock market. Although most studies suggest that a negative shock to stock prices will generate more volatility than a positive shock of equal magnitude but there is no evidence of asymmetric effect in TSM. … …American Journal of Applied Sciences, Vol. 7, Issue 1 · 31 Jan 2010 · 7,519 accessesView PDF Cite