Showing 1 - 10 of 15
We test for a change in the volatility of 215 US macroeconomic time series over the period 1960-1996. We find that … about 90\\% of these series have experienced a break in volatility during this period. This result is robust to controlling … for instability in the mean and business cycle nonlinearities. Real variables have seen a reduction in volatility since …
Persistent link: https://www.econbiz.de/10010837765
this paper is to analyze these two indexes in order to capture ENSO volatility. The empirical results show that both the … ARMA(1,1)-GARCH(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility. Moreover, 1998 is a turning … point for the volatility of SOI, and the ENSO volatility has became stronger since 1998 which indicates that the ENSO …
Persistent link: https://www.econbiz.de/10010837928
In this paper we examine the forecasting performance of five nonlinear GARCH(1,1) models. Four of these have recently been proposed in literature, while the fifth model is a new one. All five models allow for switching persistence of shocks, depending on the value and/or sign of recent returns....
Persistent link: https://www.econbiz.de/10010837955
realized volatility models, not confusing thresholds, asymmetry and leverage, not underestimating the complexity of … multivariate volatility models, and thinking carefully about forecasting models and expertise …
Persistent link: https://www.econbiz.de/10010837984
correlations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang transform …, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model: evidence …, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating and …
Persistent link: https://www.econbiz.de/10010731768
Volatility breaks are tested and documented for 19 important monthly macroeconomic time series across the G7 countries … structural break, volatility breaks are found to be widespread. This continues to hold when business cycle nonlinearities are … allowed in the variance. Multiple volatility breaks are also examined, and these are found to be especially prevalent for …
Persistent link: https://www.econbiz.de/10010731776
mean and volatility. The endogenous structural breakpoint unit root test, the autoregressive distributed lag (ARDL) model …, and alternative volatility models, including the generalized autoregressive conditional heteroskedasticity (GARCH) model … reached a peak in 2008. We also find that that the volatility of global fertilizer prices and crude oil price from March to …
Persistent link: https://www.econbiz.de/10010732592
This study examines the conditional volatility and correlation dependency and interdependency for the four major … volatility. These results have become more pervasive when the exchange rate and FFR are included. Monetary policy also has a …
Persistent link: https://www.econbiz.de/10010732605
The main purpose of this paper is to estimate the volatility in global fertilizer prices. The endogenous structural … breakpoint unit root test and alternative volatility models, including the generalized autoregressive conditional … volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in other periods, and that …
Persistent link: https://www.econbiz.de/10010732613
Modelling, monitoring and forecasting volatility are indispensible to sensible portfolio risk management. The … volatility of an asset of composite index can be traded by using volatility derivatives, such as volatility and variance swaps …, options and futures. The most popular volatility index is VIX, which is a key measure of market expectations of volatility …
Persistent link: https://www.econbiz.de/10010732630