EGARCH

作品数：245被引量：881H指数：15
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Influence of political stability on the stock market returns and volatility:GARCH and EGARCH approach
《Financial Innovation》2024年第1期146-162,共17页Wajid Alim Naqib Ullah Khan Vince Wanhao Zhang Helen Huifen Cai Alexey Mikhaylov Qiong Yuan 
Political instability has increased drastically in Pakistan during the last few decades.This may intensify the fear of investors and eventually affect investment decisions.Therefore,the stock market’s reaction to pol...
关键词：GARCH Political stability Stock returns VOLATILITY Pakistan 
Exploring the asymmetric effect of COVID‑19 pandemic news on the cryptocurrency market:evidence from nonlinear autoregressive distributed lag approach and frequency domain causality
《Financial Innovation》2023年第1期692-749,共58页Ştefan Cristian Gherghina Liliana Nicoleta Simionescu 
This paper explores the asymmetric effect of COVID-19 pandemic news,as measured by the coronavirus indices(Panic,Hype,Fake News,Sentiment,Infodemic,and Media Coverage),on the cryptocurrency market.Using daily data fro...
关键词：COVID-19 Bitcoin NARDL EGARCH Frequency domain causality 
Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic:evidence from DCC-GARCH and wavelet analysis被引量：1
《Financial Innovation》2022年第1期366-403,共38页OnurÖzdemir 
This study investigates the dynamic mechanism of financial markets on volatility spillovers across eight major cryptocurrency returns,namely Bitcoin,Ethereum,Stellar,Ripple,Tether,Cardano,Litecoin,and Eos from Novembe...
关键词：Volatility spillover EGARCH DCC-GARCH Wavelets COVID-19 
Dynamics of oil price shocks and stock market behavior in Pakistan:evidence from the 2007 financial crisis period被引量：2
《Financial Innovation》2017年第1期25-36,共12页Khalil Jebran Shihua Chen Gohar Saeed Alam Zeb 
This article was supported by Supported by National Natural Science Foundation of China.(Project Number:71472030).
Background:The aim of this study is to investigate the effect of the oil price and its volatility on the stock market of Pakistan before and after the 2007 financial crisis period.Methods:The analyses are carried out ...
关键词：Oil price shocks EGARCH GARCH Financial crises Pakistan 
Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries被引量：3
《Financial Innovation》2016年第1期29-48,共20页Khalil Jebran Amjad Iqbal 
Background:The purpose of this study is to examine volatility spillover effects between stock market and foreign exchange market in selected Asian countries;Pakistan,India,Sri Lanka,China,Hong Kong and Japan.This stud...
关键词：Volatility spillover Asian Countries EGARCH Exchange rate Stock market 
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