In this research paper ARCH-type models and option implied volatilities (IV) are applied in order to estimate the Value … volatility estimation is considered. The empirical analysis is performed on futures contracts of both the Standard and Poors 500 … the ARCH-type models. Under both methodologies there are relevant statistical gains when asymmetries are included. The …

run association is explored using VECM model. The volatility spillover dynamics is examined using the GARCH and EGARCH … Conventional index. Furthermore, this study finds asymmetric bidirectional volatility spillovers between Islamic and conventional …

-correction method can improve the n-GARCH and n-EGARCH VaR forecasts so much that the acquired VaR predictions are different from the …-correction step to improve Value-at-Risk (VaR) forecasting ability of the n-EGARCH (normal EGARCH) model and correct the VaR for both … proposed probability. Additionally, allowing asymmetry in the conditional variance using the EGARCH model with normal …

generalized autoregressive conditional heteroscedasticity (GARCH) models are applied. Macroeconomic shocks (GDP, ZEW, IFO, factory … volatility during the 7-year total examined time period. Splitting the time series into 3 individual sub-periods the results … conditional volatility during financial crises. Furthermore, announcements of GDP and ZEW index calm the exchange rate …

exponential GARCH (EGARCH) model with an integrated dynamic conditional correlation (DCC) approach to measure the impact on the …This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices …, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility …