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3 Result(s) for ' stock index'
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1.
Forecasting Financial Assets Volatility Using Integrated GARCH-Type Models: International Evidence
Samir Mabrouk
Journal of Finance and Economics. 2016 4 (2). doi: 10.12691/jfe-4-2-3
Keywords: forecasting volatility, skewed Student distribution, Long-range memory
Context: ...ng the daily conditional variance of 10 financial assets, for a sample period of about 18 years. This exercise is done for seven stock index es (Dow Jones, NASDAQ, S&P500, DAX30, FTSE100, CAC40 and Nikkei 225) and three exchange rates vis-a-vis the US dollar (the GBP...
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2.
Confidence Interval for Solutions of the Vasicek Model
Mohammad Ali Jafari, Mehran Paziresh, Majid Feshari
Journal of Finance and Economics. 2019 7 (2). doi: 10.12691/jfe-7-2-5
Keywords: the asset valuation models, confidence interval, Vasicek model, stochastic differential equations, calibration
Context: The forecast is very complex in financial markets. The reasons for this are fluctuation of financial data, Such as stock index and rate interest data over time. The determining a model for forecasting fluctuations, can play a significant role in investor's...
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3.
Analyzing the Stock Market Using the Solution of the Fractional Option Pricing Model
Osu B. O, Chukwunezu A. I, Olunkwa C., Obi C. N
International Journal of Partial Differential Equations and Applications. 2019 6 (1). doi: 10.12691/ijpdea-6-1-1
Keywords: hurst exponent, MATLAB, stock index , DFA. MSC, 98B28
Context: ...solution of the fractional option pricing model as in literature. First, the Hurst exponent of the stock prices of two different stock index using Detrended Fluctuation Analysis (DFA) method was estimated. A program using MATLAB code was written which is used to calcula...
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