Browsing Research Articles (Economics) by Subject "GARCH models"

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Forecasting interest rate volatility of the United Kingdom : evidence from over 150 years of data

Hassani, Hossein; Yeganegi, Mohammad Reza; Cunado, Juncal; Gupta, Rangan (Taylor and Francis, 2020)

This study examines the very short, short, medium and long-term forecasting ability of different univariate GARCH models of United Kingdom (UK)'s interest rate volatility, using a long span monthly data from May 1836 to ...
News implied volatility and the stock-bond nexus : evidence from historical data for the USA and the UK markets

Gupta, Rangan; Kollias, Christos; Papadamou, Stephanos; Wohar, Mark E. (Elsevier, 2018-09)

Using monthly stock and bond returns data from both the USA and the UK, this study addresses the issue of whether news implied volatility and its main components have affected in any significant manner the time-varying ...
Structural breaks and GARCH models of stock return volatility : the case of South Africa

Babikir, Ali; Gupta, Rangan; Mwabutwa, Chance; Owusu-Sekyere, Emmanuel (Elsevier, 2012-11)

This paper investigates the empirical relevance of structural breaks in forecasting stock return volatility using both in-sample and out-of-sample tests applied to daily returns of the Johannesburg Stock Exchange (JSE) All ...

Now showing items 1-3 of 3

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