Leverage effect could bring seasonal Q1 stock market drawdown
The recent Q4 volatility patterns of the major U.S stock market Index, such as Dow Jones Industrial Average, S&P500, Nasdaq100 and Russell 3000 could have been a forthcoming market signal of a volatility build-up going into Q1 2025, as among…
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…