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 …

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 …

, it is found, has a significant impact on domestic money supply and stock market growth, liquidity and volatility. The …

importance of the market movements. These indices are based on the price volatility and are computed by integrating mapped asset …

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 …

affected by ‘vo- latility contagion’ coming from emerging markets. I find also some partial support for the ‘volatility …

exemplifies how heterogeneity concerning the volatility of two stochastic processes may lead to chaotic motion; the second is a …