analysis, we estimate the volatility of Natural Gas Futures, Brent Oil Futures and Heating Oil Futures through GARCH and APARCH … models under gev, gat and alpha-stable distributions. We also applied various VaR analyses, Gaussian, Historical and Modified … (Cornish-Fisher) VaR, for each variable. Results suggest that the APARCH model largely outperforms the GARCH model, and gat …

volatility index (VIX) via a nonparametric copula method. Specifically, we propose a conditional dependence index to investigate … that the nonparametric leverage effect is much stronger than the nonparametric volatility feedback effect, although, in …

financial econometrics literature have developed several models based on Extreme Value Theory (EVT) to carry out these tasks …

index returns. The proposed models capture key stylized facts of such returns, namely heavy tails, asymmetry, volatility … asymmetric. Volatility is modeled parametrically. The new model is applied to the daily returns of the S\&P 500, FTSE 100, and … EUROSTOXX 50 indices and is compared to GARCH, Stochastic Volatility, and other Bayesian semi-parametric models …

value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …

This study examines the reaction of four major equity markets of the world to the US equity market fear index, i ….e., the Chicago Board of Trade Volatility Index (VIX). The VIX is designed to perform as a leading indicator of the volatility … estimation show that, in the first and second subperiods that cover from 6/2013 through 5/2016, equity market volatility in the …

This study utilized both single-regime GARCH and double-regime GARCH models to investigate oil price volatility … volatility on these factors was examined. The empirical results confirmed the presence of the leverage effect and identified … multiple volatility switches associated with remarkable events like the GFC, the European debt crisis, the COVID-19 pandemic …