-parametric regression approach to next-day volatility forecasting. A second finding is that the GARCH(1,1) model severely over-estimated the … unconditional variance leads to poor volatility forecasts during the period under discussion with the MSE of GARCH(1,1) 1-year ahead … volatility more than 4 times bigger than the MSE of a forecast based on historical volatility. We test and reject the hypothesis …

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 …

In this paper we establish a link between the volatility of oil price shocks and a positive expected value of inflation … relaxes certainty equivalence providing a link between the volatility of shocks and inflation premium. First, we obtain …

impact on volatility forecasting. It reports the results of a detailed analysis of twelve samples of returns on financial …

-based framework for the analysis of stochastic volatility models. A highly effective method is developed that samples all the …-nested likelihood ratios and Bayes factors is also investigated. These methods are used to compare the fit of stochastic volatility and …