Estimates of daily volatility are investigated. Realized volatility can be computed from returns observed over time … intervals of different sizes. For simple statistical reasons, volatility estimators based on high-frequency returns have been … volatility bias. On the basis of a simple theoretical model for foreign exchange data, the incoherent term can be filtered away …

States of the European Union, to test if the same short-run increase in cyclical volatility arising from financial … mature market economies, reduces cyclical volatility both in the short and in the long run. Weak indications are found that …

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

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 …

, 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 …

This paper addresses the question if there are differences between time patterns in the volatility of investment across … conjectured, GARCH effects play an important role in some sectors but are not significant in others. Astonishingly, the volatility … determining investment volatility than the macroeconomic environment. …