Evaluation of Forecasts Performance of ARIMA-GARCH-type Models in the Light of Outliers
ABSTRACT The carry-over effect of biased estimates of ARIMA-GARCH-type models parameters on forecasting accuracy is investigated in the presence of ...
Tag: volatility
Efficiency and Convergence of Bisection, Secant, and Newton Raphson Methods in Estimating Implied Volatility
ABSTRACT This study aims to estimate volatility prices based on the black-Scholes model (BSM) function with research data taken during ...
The effect of inflation on stock prices of listed companies in Tehran stock exchange
Abstract Iranian, in the recent history, faced two major economic crises which were in April 2005 and February 2014. In ...
Statistical modeling for forecasting volatility in Naira per Dollar exchange rate using ARFIMA-GARCH and ARFIMA-FIGARCH models
ABSTRACT This paper investigates the presence of long memory both in mean and volatility of Naira per Dollar exchange rate ...
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