Mapping the Trend, Application and Forecasting Performance of Asymmetric GARCH Models: A Review Based on Bibliometric Analysis

Neenu Chalissery, Suhaib Anagreh, Mohamed Nishad T. and Mosab I. Tabash ()
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Neenu Chalissery: Department of Commerce and Management Studies, Farook College (Autonomous), Kozhikode 673 632, India
Suhaib Anagreh: Higher Colleges of Technology, Dubai P.O. Box 25026, United Arab Emirates
Mohamed Nishad T.: Department of Commerce and Management Studies, Farook College (Autonomous), Kozhikode 673 632, India
Mosab I. Tabash: College of Business, Al Ain University, Al Ain P.O. Box 64141, United Arab Emirates

JRFM, 2022, vol. 15, issue 9, 1-23

Abstract: The past few years have witnessed renewed interest in modelling and forecasting asymmetry in financial time series using a variety of approaches. The most intriguing of these strategies is the “asymmetric” or “leverage” volatility model. This study aims to conduct a review of asymmetric GARCH models using bibliometric analysis to identify their key intellectual foundations and evolution, and offers thematic and methodological recommendations for future research to advance the domain. Bibliometric analysis was used to identify patterns in and perform descriptive analysis of articles, including citation, co-authorship, bibliographic coupling, and co-occurrence analysis. The study located 856 research papers from the Scopus database between 1992 and 2021 using key phrase and reference search methods. Publication trends, most influential authors, leading countries, and top journals are described, along with a systematic review of highly cited articles. The study summarises the development, application, and performance evaluation of asymmetric GARCH models, which will help researchers and academicians significantly contribute to this literature by addressing gaps.

Keywords: asymmetric GARCH models; bibliometric analysis; literature review (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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