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 …

December 1993. Second, using various GARCH models to account for heteroskedasticity show that Gaussian models can be misleading … is not linked to especially high a volatility. Finally, focusing on the French rate, we find asymmetry in the stochastic … volatility, positive shocks being more persistent. …

security returns for stochastic beta and GARCH effects, may very well cause researchers to draw inappropriate conclusions. …

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 …

explanatory variables are present in all equations and where heteroskedasticity and/or autocorrelation of unknown forms may be … hypotheses of interest, we show that the robust Wald statistic, i.e., the statistic based on the heteroskedasticity and …

The Breusch-Pagan Lagrange Multiplier test for heteroskedascity is supposedly able to detect heteroskedasticity which …