The paper examines the volatility predictive ability of the CBOE crude oil volatility index (OVX), GARCH and Stochastic … Volatility Models in the crude oil market. Specifically, the dynamics of two major crude oil pricing benchmarks - Brent in Europe … and WTI in America are compared. OVX index is able to provide the optimal forecast for the volatility of Brent's future …

optimization. The diffusion model combines (stochastic) elasticity of volatility (EV) and stochastic volatility (SV) to create the … reverts to a GBM model, the volatility and speed of reversion of the EV have a strong impact on optimal allocations, and more …

This study first investigates the short and long-run effectsof exchange rate, output gap and output gap volatility on … inflation volatility.Also, causality tests results indicate that changes in the exchangerate, output gap volatility, and output … gap will have permanent andtemporary causal effects on inflation volatility. The policymakersshould carefully consider …

This study used dummy variables to measure the influence of day-of-the-week effects and structural breaks on volatility … volatility based on existing HAR models. The estimation results of the models showed that day-of-the-week effects only improve … the fitting ability of HAR models for electricity volatility forecasting at the daily horizon, whereas structural breaks …

The development of technology and the globalization of financial markets have increased the volatility in financial …, can use in estimating the BIST 100 Index return volatility. For this purpose, ARCH and GARCH models, as symmetric models … among related models in revealing BIST 100 Index return volatility. …