Forecasting oil price in times of crisis: a new evidence from machine learning versus deep learning models

Awijen, Haithem; Ameur, Hachmi Ben; Ftiti, Zied; Louhichi, Waël

doi:10.1007/s10479-023-05400-8

Cited by 4 publications

(2 citation statements)

References 84 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…In the recent past, the investigation of the impact of exogenous and endogenous shocks on different financial markets by using different approaches/methods has attained major attention in the finance literature. By taking the sample from 2007 to 2021, Awijen et al (2023) forecasted the oil prices during the time of crisis. They used two approaches: support vector machine and long-short memory approaches.…”

Section: Volatility In Emerging and Developed Marketsmentioning

confidence: 99%

“…In line with this, several scholars (Pacheco 2022;Inacio and David 2022;Le et al 2021;Jawadi et al 2020) evaluated the impact of market shock on oil price and oil-exporting countries. Similarly, market shock on the crypto-currency market (Bhatnagar et al 2023;Fernandes et al 2022;Agosto and Cafferata 2020;Ftiti et al 2021b) and exchange rate market (Narayan 2020(Narayan , 2022Jawadi et al 2019) has been well investigated in the literature from the classical approach of measuring volatility using univariate GARCH models (Alberg et al 2008;Teräsvirta 2009;Awartani and Corradi 2005;Franses and Van Dijk 1996) to modern methods (Bouzgarrou et al 2023) such as the NARDL model, vector machine model (Awijen et al 2023), quantile regression (Živkov et al 2020), and artificial neural networks (Sarfaraz et al 2023). The evaluation of different market shocks on financial markets is still continuing.…”

Section: Volatility In Emerging and Developed Marketsmentioning

confidence: 99%

See 1 more Smart Citation

Market Shocks and Stock Volatility: Evidence from Emerging and Developed Markets

Tabash,

Chalissery,

Nishad

et al. 2024

IJFS

View full text Add to dashboard Cite

Market turbulences and their impact on the financial market, particularly on the stock market, is a financial topic that has received significant research attention recently. This study compared the characteristics of stock return and volatility in selected developed and emerging markets between the 2008 financial crisis and the 2019 worldwide pandemic. In this sense, we seek to answer two concerns. First, do the developed and emerging markets behave similarly during crisis periods? Second, does economic strength always shield markets from poor economic circumstances? For this purpose, the daily return data of E7 (Emerging 7) and G7 (Developed 7) countries for two sample periods—namely, the financial crisis period of 2007–2009 and the global pandemic period of 2019–2021—were chosen. By using univariate GARCH models, namely GARCH, EGARCH, and TGARCH, the study discovered that developing and developed markets reacted differently to these two financial crises. While emerging markets responded similarly to these two crises, developed economies acted differently, being more volatile and sensitive to the worldwide pandemic of 2019 than the financial crisis of 2008. Moreover, a country’s economic prowess does not always shield it from economic turmoil. This study will help investors identify diversification opportunities among the developed and emerging markets during a crisis period. Additionally, this will help portfolio and fund managers understand the behaviour of stock markets during times of market crisis and thus give advice to investors.

show abstract

Section: Volatility In Emerging and Developed Marketsmentioning

confidence: 99%