We examine the conditional volatility dynamics of the USD 1Yx10Y forward swap rate using GARCH(1,1), GJR-GARCH(1,1), and a two-regime Markov-switching GARCH (MSGARCH) model. The analysis uses daily data from 2007 to 2023 and incorporates market-implied measures (ATM swaption volatility and the SRVIX in- dex) together with a broad set of diagnostic tests. Standard GARCH and GJR- GARCH models show stable short-run parameters, but the intercept {\omega} varies markedly across rolling windows, causing instability in the implied long-run vari- ance. This pattern, confirmed by the Nyblom test, motivates adopting a regime- switching specification. MSGARCH mitigates this issue by keeping regime-specific parameters stable and capturing time variation through filtered regime probabili- ties. It delivers the highest log-likelihood and lowest AIC, whereas BIC favours the more parsimonious GJR-GARCH. One-step-ahead backtesting indicates comparable short-horizon accuracy across models, but MSGARCH offers a clearer structural in- terpretation by isolating high- and low-volatility regimes aligned with major market events.
This paper develops a generalized autoregressive conditional heteroskedasticity–mixed data sampling model with continuous and jump components (GARCH-MIDAS-CJ). It aligns the continuous–jump (CJ) decomposition of realized volatility with the long-run–short-run multiplicative structure. The model places block-smoothed da...
This article examines the volatility dynamics of the daily adjusted closing prices of Saudi Aramco (SAOC) shares using a hybrid econometric framework that combines ARIMA and CS-GARCH models. Financial time series are typically characterized by volatility clustering, conditional heteroskedasticity, and asymmetric respon...
The purpose of this study is to examine the dynamics of S&P 500 index volatility using daily data from January 1, 2020, to November 1, 2025. The analysis focuses on volatility persistence, clustering behavior, and the effects of the EUR/USD exchange rate and WTI crude oil prices on the stock market. For this purpose, d...
Süreyya Temelli· International Journal of Man...· 0 citations
This study investigates the impact of different error distributions on the performance of
univariate GARCH-family models in modeling and forecasting the volatility of Brent crude oil
returns from January 2014 to May 2025. Descriptive analysis reveals pronounced fluctuations,
volatility clustering, and asymmetric beh...
Godsgift Chilaka Njoku· INTERNATIONAL JOURNAL OF APP...· 0 citations
This study investigates whether the directional accuracy of commonly used technical indicators changes with market volatility and whether combining several indicators can improve signal reliability. The analysis draws on 500 daily financial observations and considers moving averages, the Relative Strength Index (RSI),...
Rania Loubaris, Almahdi Koraich· Journal of Risk and Financia...· 0 citations
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