Keyword

EGARCH

Description: EGARCH is an exponential generalized autoregressive conditional heteroskedasticity model used to estimate and forecast changing financial-market volatility.

Primary topic: Financial Risk and Volatility Modeling (73%)

OpenAlex ID: keywords/egarch

Measuring and Testing the Impact of News on Volatility

1993 · ROBERT F. ENGLE, VICTOR K. NG · The Journal of Finance · 3,690

Modeling and pricing long memory in stock market volatility

1996 · Tim Bollerslev, Hans Ole Mikkelsen · Journal of Econometrics · 1,208

Measuring and Testing the Impact of News on Volatility

1993 · Robert F. Engle, Victor K. Ng · The Journal of Finance · 755

International evidence on crude oil price dynamics: Applications of ARIMA-GARCH models

2010 · Hassan Mohammadi, Lixian Su · Energy Economics · 346

Measuring and Testing the Impact of News on Volatility

1991 · Robert Engle, Victor Ng · National Bureau of Economic Research · 286

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Price discovery and volatility spillovers in the DJIA index and futures markets

1999 · Yiuman Tse · Journal of Futures Markets · 284

Estimating stock market volatility using asymmetric GARCH models

2008 · Dima Alberg, Haim Shalit, et al. · Applied Financial Economics · 274

The best of two worlds: Forecasting high frequency volatility for cryptocurrencies and traditional currencies with Support Vector Regression

2017 · Yaohao Peng, Pedro Henrique Melo Albuquerque, et al. · Expert Systems with Applications · 257

Fluctuating Confidence in Stock Markets: Implications for Returns and Volatility

1997 · Alexander David · Journal of Financial and Quantitative Analysis · 244

Predicting stock index volatility: can market volume help?

1998 · Chris Brooks · Journal of Forecasting · 231

An artificial neural network-GARCH model for international stock return volatility

1997 · R.Glen Donaldson, Mark Kamstra · Journal of Empirical Finance · 227

Intraday trading volume and return volatility of the DJIA stocks: A note

2002 · Ali F Darrat, Shafiqur Rahman, et al. · Journal of Banking & Finance · 209

Alternative Models for the Conditional Heteroscedasticity of Stock Returns

1994 · Dongcheol Kim, Stanley J. Kon · The Journal of Business · 194

Volatility spillovers across equity markets: European evidence

1998 · Angelos Kanas · Applied Financial Economics · 181

Modeling and forecasting the volatility of carbon emission market: The role of outliers, time-varying jumps and oil price risk

2017 · Anupam Dutta · Journal of Cleaner Production · 176

Using extreme value theory to measure value-at-risk for daily electricity spot prices

2006 · Kam Fong Chan, Philip Gray · International Journal of Forecasting · 166

Stock Returns and Volatility on China's Stock Markets

2001 · Cheng F. Lee, Gong‐meng Chen, et al. · The Journal of Financial Research · 166

Nonlinear time-series analysis of stock volatilities

1992 · C. Q. Cao, R. S. Tsay · Journal of Applied Econometrics · 157

G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models

2002 · Sébastien Laurent, Jean–Philippe Peters · Journal of Economic Surveys · 155

Stochastic Autoregressive Volatility:A Framework for Volatility Modeling

2005 · Torben G Andersen · 152

A hybrid modeling approach for forecasting the volatility of S&P 500 index return

2011 · E. Hajizadeh, A. Seifi, et al. · Expert Systems with Applications · 150

Modelling and forecasting the stock market volatility of SSE Composite Index using GARCH models

2017 · Zhe Lin · Future Generation Computer Systems · 149

A conditional-SGT-VaR approach with alternative GARCH models

2006 · Turan G. Bali, Panayiotis Theodossiou · Annals of Operations Research · 145

Time Series Models with an EGB2 Conditional Distribution

2014 · Michele Caivano, Andrew Harvey · SSRN Electronic Journal · 130

Detecting instability in the volatility of carbon prices

2010 · Julien Chevallier · Energy Economics · 126

Works count: 3,394

Citation count: 26,700