Volatility forecasting of financial time series using wavelet based exponential generalized autoregressive conditional heteroscedasticity model

DOI10.1080/03610926.2018.1535073MaRDI QIDQ5085572zbMATH OpenOpenAlexFDO

Authors Siti Aisyah Mohammed, Mohd Aftar abu Bakar, Noratiqah Mohd Ariff

Publication date 27 June 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2018.1535073

zbMATH Keywords

wavelet transformvolatilityde-noisingEGARCH model

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• An introduction to wavelets and other filtering methods in finance and economics
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Comparison of spectral and wavelet estimators of transfer function for linear systems.
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Forecasting study of Shanghai's and Shenzhen's stock markets using a hybrid forecast method
• GARCH based artificial neural networks in forecasting conditional variance of stock returns
• Generalized autoregressive conditional heteroscedasticity
• Ideal spatial adaptation by wavelet shrinkage
• Investment volatility: A critique of standard beta estimation and a simple way forward
• MODWT based time scale decomposition analysis of BSE and NSE indexes financial time series
• Modeling and forecasting exchange rate volatility in time-frequency domain
• Orthonormal bases of compactly supported wavelets
• Statistical analysis of financial volatility by wavelet shrinkage
• The contribution of wavelets to the analysis of economic and financial data
• The wavelet transform, time-frequency localization and signal analysis
• UNIT ROOT TESTS WITH WAVELETS
• Wavelets in Economics and Finance: Past and Future

Cited in

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• scientific article; zbMATH DE number 5022019 (Why is no real title available?)

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