{"id":"https://openalex.org/W2005011583","doi":"https://doi.org/10.1016/j.eswa.2009.12.022","title":"Forecasting S&P-100 stock index volatility: The role of volatility asymmetry and distributional assumption in GARCH models","display_name":"Forecasting S&P-100 stock index volatility: The role of volatility asymmetry and distributional assumption in GARCH models","publication_year":2009,"publication_date":"2009-12-17","ids":{"openalex":"https://openalex.org/W2005011583","doi":"https://doi.org/10.1016/j.eswa.2009.12.022","mag":"2005011583"},"language":"en","primary_location":{"id":"doi:10.1016/j.eswa.2009.12.022","doi":"https://doi.org/10.1016/j.eswa.2009.12.022","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.eswa.2009.12.022","pdf_url":null,"source":{"id":"https://openalex.org/S13144211","display_name":"Expert Systems with Applications","issn_l":"0957-4174","issn":["0957-4174","1873-6793"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-class-a","anvur-scientific","ccf-c","cwts-core","dongbi-c","doyens","fnege-3","jufo-2","ki-jl-2","norway-2","poland-200","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Expert Systems with Applications","raw_type":"journal-article"},"parent_works":[],"lineage":["https://openalex.org/W2005011583"],"child_works_count":0,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5037611863","display_name":"Hung\u2010Chun Liu","orcid":"https://orcid.org/0000-0003-3692-8559","observed_orcids":["https://orcid.org/0000-0003-3692-8559"]},"institutions":[{"id":"https://openalex.org/I143003336","display_name":"Minghsin University of Science and Technology","ror":"https://ror.org/054etzm63","country_code":"TW","type":"education","lineage":["https://openalex.org/I143003336"]}],"countries":["TW"],"is_corresponding":false,"raw_author_name":"Hung-Chun Liu","raw_affiliation_strings":["Department of Finance, Minghsin University of Science and Technology, No. 1, Xinxing Rd., Xinfeng Hsinchu 30401, Taiwan, ROC","Department of Finance, Minghsin University of Science and Technology, No. 1, Xinxing Rd., Xinfeng Hsinchu 30401, Taiwan, ROC#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance, Minghsin University of Science and Technology, No. 1, Xinxing Rd., Xinfeng Hsinchu 30401, Taiwan, ROC","institution_ids":["https://openalex.org/I143003336"]},{"raw_affiliation_string":"Department of Finance, Minghsin University of Science and Technology, No. 1, Xinxing Rd., Xinfeng Hsinchu 30401, Taiwan, ROC#TAB#","institution_ids":["https://openalex.org/I143003336"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5020939752","display_name":"Jui\u2010Cheng Hung","orcid":"https://orcid.org/0000-0003-3445-6906","observed_orcids":["https://orcid.org/0000-0003-3445-6906"]},"institutions":[{"id":"https://openalex.org/I50519452","display_name":"Lunghwa University of Science and Technology","ror":"https://ror.org/001y2wd07","country_code":"TW","type":"education","lineage":["https://openalex.org/I50519452"]}],"countries":["TW"],"is_corresponding":true,"raw_author_name":"Jui-Cheng Hung","raw_affiliation_strings":["Department of Finance, Lunghwa University of Science and Technology, No. 300, Sec. 1, Wanshou Rd., Guishan Shiang, Taoyuan County 33306, Taiwan, ROC"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance, Lunghwa University of Science and Technology, No. 300, Sec. 1, Wanshou Rd., Guishan Shiang, Taoyuan County 33306, Taiwan, ROC","institution_ids":["https://openalex.org/I50519452"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5020939752"],"corresponding_institution_ids":["https://openalex.org/I50519452"],"apc_list":{"value":3500,"currency":"USD","value_usd":3500},"apc_paid":null,"fwci":4.2527,"has_fulltext":false,"cited_by_count":115,"citation_normalized_percentile":{"value":0.94252166,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":95,"max":99},"biblio":{"volume":"37","issue":"7","first_page":"4928","last_page":"4934"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.0,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11918","display_name":"Forecasting Techniques and Applications","score":0.0,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/volatility-forecasting","display_name":"volatility forecasting","score":0.8980000019073486},{"id":"https://openalex.org/keywords/s-p-100-index","display_name":"S&P 100 index","score":0.8669999837875366},{"id":"https://openalex.org/keywords/garch-models","display_name":"GARCH models","score":0.8309999704360962},{"id":"https://openalex.org/keywords/volatility-asymmetry","display_name":"asymmetric volatility","score":0.9110000133514404},{"id":"https://openalex.org/keywords/gjr-garch","display_name":"GJR-GARCH","score":0.8600000143051147},{"id":"https://openalex.org/keywords/egarch","display_name":"EGARCH","score":0.9980000257492065},{"id":"https://openalex.org/keywords/heavy-tailed-distributions","display_name":"heavy-tailed distributions","score":0.703000009059906},{"id":"https://openalex.org/keywords/leptokurtosis","display_name":"leptokurtosis","score":0.75},{"id":"https://openalex.org/keywords/skewness","display_name":"skewness","score":0.902999997138977},{"id":"https://openalex.org/keywords/leverage-effect","display_name":"leverage effect","score":0.8230000138282776},{"id":"https://openalex.org/keywords/superior-predictive-ability","display_name":"superior predictive ability","score":0.8370000123977661},{"id":"https://openalex.org/keywords/daily-stock-returns","display_name":"daily stock returns","score":0.6039999723434448}],"concepts":[{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.8204742670059204},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7082796096801758},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6994867920875549},{"id":"https://openalex.org/C2985497776","wikidata":"https://www.wikidata.org/wiki/Q1148384","display_name":"Leverage effect","level":4,"score":0.6362175941467285},{"id":"https://openalex.org/C122342681","wikidata":"https://www.wikidata.org/wiki/Q330828","display_name":"Skewness","level":2,"score":0.6003068685531616},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5127895474433899},{"id":"https://openalex.org/C89218465","wikidata":"https://www.wikidata.org/wiki/Q5449732","display_name":"Financial models with long-tailed distributions and volatility clustering","level":5,"score":0.5125470161437988},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.41756555438041687},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.3818237781524658}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/j.eswa.2009.12.022","doi":"https://doi.org/10.1016/j.eswa.2009.12.022","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.eswa.2009.12.022","pdf_url":null,"source":{"id":"https://openalex.org/S13144211","display_name":"Expert Systems with Applications","issn_l":"0957-4174","issn":["0957-4174","1873-6793"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-class-a","anvur-scientific","ccf-c","cwts-core","dongbi-c","doyens","fnege-3","jufo-2","ki-jl-2","norway-2","poland-200","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Expert Systems with Applications","raw_type":"journal-article"},{"id":"pmh:oai:tkuir.lib.tku.edu.tw:987654321/126744","doi":null,"is_oa":false,"landing_page_url":"https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/126744","pdf_url":null,"source":{"id":"https://openalex.org/S4406922698","display_name":"Tamkang University Institutional Repository (TKUIR)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":null}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320321040","display_name":"National Science Council","ror":"https://ror.org/02kv4zf79"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":47,"referenced_works":["https://openalex.org/W1588163064","https://openalex.org/W1963668920","https://openalex.org/W1968378945","https://openalex.org/W1978980639","https://openalex.org/W1979202837","https://openalex.org/W1979575715","https://openalex.org/W1985165919","https://openalex.org/W1994401197","https://openalex.org/W1999029409","https://openalex.org/W1999814123","https://openalex.org/W1999996900","https://openalex.org/W2040728173","https://openalex.org/W2050902901","https://openalex.org/W2054484691","https://openalex.org/W2061160212","https://openalex.org/W2062776468","https://openalex.org/W2065513198","https://openalex.org/W2066433226","https://openalex.org/W2067580741","https://openalex.org/W2068138154","https://openalex.org/W2070537217","https://openalex.org/W2073397294","https://openalex.org/W2076396344","https://openalex.org/W2078368457","https://openalex.org/W2083275936","https://openalex.org/W2088458391","https://openalex.org/W2092729734","https://openalex.org/W2097580026","https://openalex.org/W2105305265","https://openalex.org/W2119848424","https://openalex.org/W2124041408","https://openalex.org/W2127923747","https://openalex.org/W2134769070","https://openalex.org/W2135606128","https://openalex.org/W2146399390","https://openalex.org/W2154662174","https://openalex.org/W2157895285","https://openalex.org/W2161314179","https://openalex.org/W2891277411","https://openalex.org/W3121417446","https://openalex.org/W3122175640","https://openalex.org/W3122232609","https://openalex.org/W3122384970","https://openalex.org/W3123985237","https://openalex.org/W3124026849","https://openalex.org/W3124211260","https://openalex.org/W3217457548"],"related_works":["https://openalex.org/W2369983928","https://openalex.org/W1532430127","https://openalex.org/W2111416403","https://openalex.org/W2469351479","https://openalex.org/W7162835975","https://openalex.org/W2065513198","https://openalex.org/W1967650431","https://openalex.org/W7034967961","https://openalex.org/W2144926239","https://openalex.org/W4200400394"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":5},{"year":2025,"cited_by_count":11},{"year":2024,"cited_by_count":14},{"year":2023,"cited_by_count":11},{"year":2022,"cited_by_count":7},{"year":2021,"cited_by_count":6},{"year":2020,"cited_by_count":10},{"year":2019,"cited_by_count":5},{"year":2018,"cited_by_count":3},{"year":2017,"cited_by_count":7},{"year":2016,"cited_by_count":7},{"year":2015,"cited_by_count":7},{"year":2014,"cited_by_count":6},{"year":2013,"cited_by_count":7},{"year":2012,"cited_by_count":5}],"updated_date":"2026-11-14T11:04:58.165337","created_date":"2016-06-24T00:00:00"}
