Volatility of financial markets is an important topic for academics, policy makers and market participants. In this … these specifications. Then assuming that the squared returns are the benchmark estimate for actual volatility of the day, I … compare all of the models with respect to how much efficient they are to mimic the realized volatility. At the same time I …

conjectured, GARCH effects play an important role in some sectors but are not significant in others. Astonishingly, the volatility …This paper addresses the question if there are differences between time patterns in the volatility of investment across … different industrial sectors. A competitive partial-equilibrium model with quadratic adjustment costs in investment and a GARCH …

This paper examines the forecasting performance of GARCH’s models used with agricultural commodities data. We compare … containing a genuine stock index also. The implied goal is to find out if the GARCH models are more fitted for stock indices than …

return and volatility equations. When using the GARCH (1,1) specification only for the return equation and the Modified-GARCH … (1,1) specification for both the return and volatility equations, findings indicate that the day of the week effect is …

This paper examines the impact of capital flows on the domestic financial sector in India. Inflow of foreign capital …, it is found, has a significant impact on domestic money supply and stock market growth, liquidity and volatility. The …

, using a bivariate SWARCH model to show the dependence of the high and low volatility states of the IT.CAC on the NASDAQ-100 …, with no intermediate simultaneous high-low volatility states. …

and volatility of the Shanghai market were higher. The rates of returns in the two markets were approximately serially … uncorrelated and mutually uncorrelated. Volatility, as measured by the absolute change in the rate of return, has positive serially … correlations in both markets as expected, but the autoregressions are temporarily unstable. Most surprisingly the volatility …

We argue that the role played by output-composition changes on the decline in US output volatility has been incorrectly …-percent of the volatility decline since the 1950’s. …

financial instruments in the portfolio and on the volatility of those returns.This task is relatively simple if the correlations … and volatilities do not change over time.But in reality both volatility and stock market indexes’ correlations do change … relatively time varying correlations with the other indexes and we find a strong GARCH effect in all of the examined series. …

applications in power industries. This model with stochastic volatility of the forward price is built using the ideas and equations … of stochastic differential geometry in order to close the system of equations for the forward price and its volatility …. Stationary distributions for the forward price volatility are found analytically as well as the forward price curves in the one …