检索结果-南通市图书馆

Forecasting Stock volatility Using Wavelet-based Exponential Generalized Autoregressive Conditional Heteroscedasticity Methods

引用

Intelligent Automation & Soft Computing 2023年第3期35卷 2589-2601页

作者： Tariq T.Alshammari Mohd Tahir Ismail Nawaf N.Hamadneh S.Al Wadi Jamil J.Jaber Nawa Alshammari Mohammad H.Saleh School of Mathematical Science Universiti Sains MalaysiaPenangMalaysia Department of Risk Management and Insurance Faculty of BusinessThe University of JordanJordan Department of Basic Sciences College of Science and Theoretical StudiesSaudi Electronic UniversityRiyadhSaudi Arabia

In this study,we proposed a new model to improve the accuracy of fore-casting the stock market volatility *** hypothesized model was validated empirically using a data set collected from the Saudi Arabia stock Exchange(Tada-wul).The data is the daily closed price index data from August 2011 to December 2019 with 2027 *** proposed forecasting model combines the best maximum overlapping discrete wavelet transform(MODWT)function(Bl14)and exponential generalized autoregressive conditional heteroscedasticity(EGARCH)*** results show the model's ability to analyze stock market data,highlight important events that contain the most volatile data,and improve forecast *** results were compared from a number of mathematical mod-els,which are the non-linear spectral model,autoregressive integrated moving aver-age(ARIMA)model and EGARCH *** performance of the forecasting model will be evaluated based on some of error functions such as Mean absolute percentage error(MAPE),Mean absolute scaled error(MASE)and Root means squared error(RMSE).

关键词： Predictive analytics mathematical models volatility index EGARCH model

来源：

维普期刊数据库评论

在线全文

维普期刊数据库

学校读者我要写书评

暂无评论

A Statistical Measure of Global Equity Market Risk

引用

Applied Mathematics 2020年第11期11卷 1053-1060页

作者： Daniel Felix Ahelegbey Department of Economics and Management University of Pavia Pavia Italy

We construct a new index of global equity market risk (EMR) using market interconnectedness and volatilities. We study the relationship between our EMR and the VIX over the last two decades. The EMR is shown to be a novel approach to measuring global market risk, and an alternative to the VIX. Using data of 20 major stock markets, including G10 economies, we find spikes in our EMR index during the dotcom bubble, the global financial crisis, the European sovereign debt crisis, and the novel coronavirus pandemic. The result shows that the global financial crisis and the COVID-19 induced crisis record the historic highest spikes in financial market risk, suggesting stronger evidence of contagion in both periods.

关键词： COVID-19 Financial Crises Financial Markets Market Risk Mahalanobis Distance volatility index

来源：

维普期刊数据库评论

在线全文

维普期刊数据库

学校读者我要写书评

暂无评论

欢迎您,

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

在线全文

在线全文

请选择保存的检索档案：

请选择收藏分类：

通借通还

欢迎您,

建议与咨询 留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

在线全文

在线全文

请选择保存的检索档案： 新增检索档案 确定 取消

请选择收藏分类： 新增自定义分类 确定 取消

通借通还

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

请选择保存的检索档案：

请选择收藏分类：