Volatility Persistence in Palestine Exchange Bulls and Bears: An Econometric Analysis of Time Series Data
Bibliographic record
Abstract
This study aims at investigating volatility persistent in Palestine Exchange (PEX) bulls and bears. It also attempts to explore whether or not stock market volatility present a different behavior during PEX bulls and bears, which is likely to provide investors with a background information for more feasible investment in the PEX. Toward that end, the study employs Rescaled Range (R/S) to calculate the values of difference to find evidence of long memory behavior for the daily data observations from August, 1997 to December, 2014. The study finds that volatility isn¡¯t persistent in the PEX bear markets. Co-integration results show that there is an existence of cointegration, which indicates a long run equilibrium association between PEX bull and bear markets. The ECM results reveal that the speed of adjustment toward long run equilibrium is very low for PEX bull markets while the speed of adjustment toward long run equilibrium is unlikely to be attained for PEX bear markets. Further, the PEX bears markets are longer than PEX bulls markets, so that prudent investors should take volatility in PEX bulls and bears into account.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.003 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.001 | 0.001 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.001 |
| Insufficient payload (model declined to judge) | 0.001 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".