FORECASTING EQUITY INDEX VOLATILITY: EMPIRICAL EVIDENCE FROM JAPAN,UK AND USA DATA
Understanding and forecasting equity market volatility has become an essential focus for financial analysts, policymakers, and academic researchers. In this working paper are explained the predictive capabilities of non-linear models—ARCH, GARCH, and EGARCH—using weekly return data from Japan, the UK,…
Forecasting Volatility in Asianand European Stock Marketswith Asymmetric GARCHModels
The dynamics of financial market volatility have long captured the interest of researchers and practitioners alike, particularly due to its implications for risk management, portfolio allocation, and derivatives pricing. In this working paper read about the predictive performance of asymmetric…
Dynamic Interactions Between Macroeconomic Variables: Evidence from VAR Forecasting Models
In this article the readers can find theoretical econometric research about the dynamic relationships between macroeconomic indicators, including inflation, interest rates, and real GDP, using Vector Autoregression (VAR) models and ARIMA forecasts. Through impulse response functions (IRFs) and forecast error…
How Many Millions of Human Lives Have Been Sacrified for the Surge of Global Stock Markets?
The Green Ride of the Stock Market: A Modern-Day Green Horseman of the Apocalypse The exponential rise of the stock market, exemplified by the S&P 500’s 175% surge since 2020, evokes an unsettling parallel with the Green Horse of the…