A Hybrid Model of VAR-DCC-GARCH and Wavelet Analysis for Forecasting Volatility

Nafisi-Moghadam, Maryam; Fattahi, Shahram

doi:10.3390/engproc2022018006

Cited by 3 publications

(1 citation statement)

References 22 publications

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“…Wavelet analysis is a powerful mathematical tool that allows us to explore the temporal dynamics of volatility patterns with a level of detail that traditional methods cannot easily achieve. By decomposing financial time series data into different scales and frequencies, wavelet analysis offers a richer perspective on market behavior that captures both short-term fluctuations and long-term trends [11][12][13].…”

Section: Introductionmentioning

confidence: 99%

Perspective Chapter: Detecting Volatility Pattern of Assets Returns Using Wavelet Analysis

Chidi Ukwuoma,

Donald Chukwuma,

Ifeanyi Chinebu

2023

Modern Applications of Wavelet Transform

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This chapter advocates for the use of wavelet analysis as a potent tool in understanding the dynamic nature of asset price volatility in financial markets. While traditional methods like GARCH models have been valuable, wavelet analysis offers a distinctive approach by decomposing time series data into various scales and frequencies. This enables a comprehensive perspective, capturing both short-term fluctuations and long-term trends. In an era of interconnected and information-rich financial markets, the ability to discern subtle volatility patterns is crucial. The chapter provides a guide to wavelet analysis, explaining its foundations, principles, and methodology for application to financial time series. Real data from NASDAQ Composite, DOW Incorporated, S&P500, and Omnicell Inc. is used for illustration. The efficacy of wavelet analysis is emphasized, offering finance professionals, academia, and researchers a simple yet robust approach to navigate the complexities of modern financial markets, make informed decisions, and adapt to evolving conditions. The chapter aims to enhance understanding of financial market behavior, inspiring further research and innovation in financial analysis and risk management.

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Section: Introductionmentioning

confidence: 99%

Perspective Chapter: Detecting Volatility Pattern of Assets Returns Using Wavelet Analysis

Chidi Ukwuoma,

Donald Chukwuma,

Ifeanyi Chinebu

2023

Modern Applications of Wavelet Transform

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Monetary Policy Spillovers and Inter-Market Dynamics Perspective of Preferred Habitat Model

Wahid,

Kowalewski

2024

Economies

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This study advances the understanding of the Preferred Habitat Model’s capacity to shed light on the inter-market transfer of mean returns and the diffusion of price volatility in Pakistani investment markets. It examines the extent to which returns in one market exert a systematic influence on returns across others under the potential sway of interest rate policy shifts, USD exchange rate volatility, and domestic inflation trends. Employing a methodological arsenal that includes the GARCH process, enhanced by Dynamic Conditional Correlations (DCC), as well as the Markov Switching Model, this research assesses the propagation of mean returns and volatility across markets. The analysis uncovers significant linkages between monetary policy and stock market indices, underscoring the profound impact of monetary policy on cross-market performance transmission. These insights are pivotal for regulators overseeing the nuanced interaction between monetary policy and market performance. They are crucial for local and international investors interested in developing economies, especially in Pakistan’s markets.

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A Wavelet-Decomposed GARCH approach to estimating currency risk

Ndlovu,

Chikobvu

2024

Journal of Economic and Financial Sciences

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A Hybrid Model of VAR-DCC-GARCH and Wavelet Analysis for Forecasting Volatility

Abstract: This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https:// creativecommons.org/licenses/by/ 4.0/).

Cited by 3 publications

References 22 publications

Perspective Chapter: Detecting Volatility Pattern of Assets Returns Using Wavelet Analysis

Perspective Chapter: Detecting Volatility Pattern of Assets Returns Using Wavelet Analysis

Monetary Policy Spillovers and Inter-Market Dynamics Perspective of Preferred Habitat Model

A Wavelet-Decomposed GARCH approach to estimating currency risk

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