This study investigates the daily volatility forecasting for the Standard & Poor's 100 stock
index series from 1997 to 2003 and identifies the essential source of performance …

Purpose Several empirical studies have proven that emerging countries are attractive
destinations for Foreign Institutional Investors (FIIs) because of high expected returns, weak …

This paper investigated the volatility of Naira/Dollar exchange rates in Nigeria using GARCH
(1, 1), GJR-GARCH (1, 1), EGARCH (1, 1), APARCH (1, 1), IGARCH (1, 1) and TS-GARCH …

Recently, support vector machine (SVM), a novel artificial neural network (ANN), has been
successfully used for financial forecasting. This paper deals with the application of SVM in …

Volatility is an important element for various financial instruments owing to its ability to
measure the risk and reward value of a given financial asset. Owing to its importance …

This research investigates the role of high-frequency data in volatility forecasting of the
China stock market by particularly feeding different frequency return series directly into a …

Contribution/Originality: This study contributes to the functioning of the global financial
system by providing insight on future stock market developments among emerging …

This paper compares the performance of linear GARCH models in forecasting the volatility of
returns in the foreign exchange market with that of asymmetric models. We study the …

This dissertation investigates the long run and short run relationships between Saudi stock
market returns and eight macroeconomic variables. We investigate the ability of these …

This study investigates the performance of five models for forecasting the Egyptian stock
market return volatility. We used the period from 1 January, 1998 until 31 December, 2009 …