Search Results - "GARCH model"

Does EPU trigger regime shift? A tree-based GARCH-MIDAS analysis of macro-volatility relationship.

Authors: Meng, Jingyi Liu, Wei

Source: Applied Economics Letters. Apr2026, p1-10. 10p. 2 Illustrations.

Inflation Dynamics in Post-Soviet Economies: Evidence from Linear and Nonlinear Time-Series Models.

Authors: Başkaraağa, Nermin Yaşar¹ nerminyasar@cankaya.edu.tr

Source: Business & Economics Research Journal. 2026, Vol. 17 Issue 2, p169-183. 15p.

Time-varying predictability and hedging power: a dual analysis of calendar effects and dynamic connectedness in commodity markets.

Authors: Li, Yun Islam, Muhammad Umar Shahid, Muhammad Naeem et al.

Source: Applied Economics. Apr2026, p1-33. 33p. 17 Illustrations.

Investment strategies for the EU emissions trading system and fossil fuel markets: a DCC-GARCH R² decomposed connectedness analysis.

Authors: Wang, Enci Nie, Jianyun Zhang, Wenwen et al.

Source: Applied Economics. May2026, Vol. 58 Issue 22, p4323-4342. 20p.

Special Issue "Volatility Modeling in Financial Market".

Authors: Czech, Katarzyna Wielechowski, Michał

Source: Risks. May2026, Vol. 14 Issue 5, p101. 4p.

Normalising Flow Enhanced GARCH Models: A Two-Stage Framework for Flexible Innovation Modelling in Financial Time Series.

Authors: Hassan, Abdullah Mlambo, Farai Mongwe, Wilson Tsakane

Source: Risks. May2026, Vol. 14 Issue 5, p100. 28p.

Predicting the Volatility of Cryptocurrencies' Returns Using High-Frequency Data: A Comparative Analysis of GARCH, EGARCH, IGARCH, GJR-GARCH, LRE, and HAR Models.

Authors: Alsamaani, Abdulrahman Aldhahi, Huda

Source: International Journal of Financial Studies. Apr2026, Vol. 14 Issue 4, p90. 36p.

Behavioral portfolio decisions in a GARCH world.

Authors: Ehler, Nando Escobar-Anel, Marcos Stentoft, Lars et al.

Source: Financial Innovation. 5/22/2026, Vol. 12 Issue 1, p1-48. 48p.

DYNAMIC INTERACTION BETWEEN BITCOIN AND DEVELOPED STOCK MARKETS: EVIDENCE FROM THE DCC-GARCH MODEL WITH WAVELET COHERENCE APPROACH.

Authors: Agrawal, Pravin Kumar Dwivedi, Yogita Singh, Gopal et al.

Source: Economics: Innovative & Economic Research Journal / Casopis za Ekonomsku Teoriju i Analizu. Jun2026, Vol. 14 Issue 2, p1-18. 18p.

A Coiflets‐Based Wavelet Decomposition Method for Improving Parameter Estimation in Combined ARIMA–GARCH Models.

Authors: Alsharabi, Najlaa Saad Ibrahim Haydier, Esraa Awni Ali, Taha Hussein et al.

Source: Journal of Applied Mathematics. 4/24/2026, Vol. 2026, p1-11. 11p.

Subjects: Wavelet transforms, GARCH model, Market volatility, Forecasting, Parameter estimation, Economic forecasting, Discrete wavelet transforms, Stochastic processes

Bilinear Log-GARCH model.

Authors: Tair, Boutheina Lescheb, Ines Guebbai, Hamza et al.

Source: Monte Carlo Methods & Applications. Jun2026, Vol. 32 Issue 2, p221-232. 12p.

Forecasting VaR and Returns Distribution Using the Real-Time GARCH Models with Standardized Two-Sided Lindley Distribution.

Authors: Wu, Zhi-Min Cai, Guang-Hui

Source: Journal of the Operations Research Society of China. Jun2026, Vol. 14 Issue 2, p413-451. 39p.

Multifractal Dynamics and Spillover Effects Between China's Carbon and Energy Markets Under Policy Shocks.

Authors: Zhang, Tian Zou, Shaohui

Source: Fractal & Fractional. May2026, Vol. 10 Issue 5, p326. 32p.

An Analytical Approximation of Warrant Prices via GARCH Models.

Authors: Teangthae, Noppanon Thongtha, Dawud

Source: AppliedMath. May2026, Vol. 6 Issue 5, p72. 17p.

Nonparametric Estimation for Locally Stationary GARCH Processes with Laplace-Distributed Noise.

Authors: Aissaoui, Faris Djeddour-Djaballah, Khedidja

Source: Austrian Journal of Statistics / Österreichische Zeitschrift für Statistik. 2026, Vol. 55 Issue 2, p61-78. 18p.

Heterogeneous Markov-Switching GARCH Models for U.S. Tourism Active Stock Trading.

Authors: De la Torre-Torres, Oscar V. Álvarez-García, José del Río-Rama, María de la Cruz et al.

Source: Mathematics (2227-7390). Apr2026, Vol. 14 Issue 7, p1200. 32p.

Carbon financial trading risk based on multidimensional analysis of data flow from the perspective of low-carbon economy.

Authors: Su, Qing Chen, Lifeng

Source: Environment, Development & Sustainability. Feb2026, Vol. 28 Issue 2, p3061-3079. 19p.

Subject Terms: *Financial risk, *GARCH model, *Stochastic processes, *Renewable energy sources, *Greenhouse gases, *Carbon offsetting, *Sustainable development, *Data analytics

BIST 100 VOLATİLİTE DİNAMİKLERİNDE YAPISAL KIRILMA: VOLATİLİTE BAZLI TEDBİR SİSTEMİ'NİN (VBTS) ETKİNLİĞİNİN MS-GARCH MODELLERİ İLE ANALİZİ.

Alternate Title: Structural Breaks in BIST 100 Volatility Dynamics: An MS-GARCH Analysis of the Effectiveness of the Volatility Based Measures System (VBTS).

Authors: YILDIRIM, Semih AKEL, Veli

Source: Journal of Research in Economics, Politics & Finance / Ekonomi, Politika & Finans Arastirmalari Dergisi. mar2026, Vol. 11 Issue 1, p296-325. 30p.

BIST Banka Endeksi'nde Volatilite Tahmini: LSTM ve GARCH Modelleri ile Karşılaştırmalı Bir Değerlendirme.

Alternate Title: Volatility Forecasting in BIST Bank Index: A Comparative Evaluation with LSTM and GARCH Models.

Authors: KIRIK, Sercan KONAK, Fatih

Source: Optimum: Journal of Economics & Management Sciences / Ekonomi ve Yönetim Bilimleri Dergisi. Winter2026, Vol. 13 Issue 1, p45-64. 20p.

Information transmission in the foreign exchange market: evidence from India.

Authors: DEVAN, Karthika P. INGALE, Pallavi JOHNSON, Johney

Source: Theoretical & Applied Economics. Spring2026, Vol. 33 Issue 1, p115-130. 16p.