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…
Will EUR/USD exchange rate drift to parity and below
The €uro has been lately under some depreciation pressures as the Euro Area economy struggles to accelerate its economic output and wider political instability in France has been slowing down the economic growth agenda, while also the German economy has…
