this paper is to analyze these two indexes in order to capture ENSO volatility. The empirical results show that both the … ARMA(1,1)-GARCH(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility. Moreover, 1998 is a turning … point for the volatility of SOI, and the ENSO volatility has became stronger since 1998 which indicates that the ENSO …

realized volatility models, not confusing thresholds, asymmetry and leverage, not underestimating the complexity of … multivariate volatility models, and thinking carefully about forecasting models and expertise …

__Abstract__ One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or … EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive … returns shocks and subsequent shocks to volatility. However, there are as yet no statistical properties available for the …

__Abstract__ Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential … GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of … shocks and subsequent shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator …

We consider tests for sudden changes in the unconditional volatility of conditionally heteroskedastic time series based … the correct null hypothesis of no volatility change is rejected much too frequently. Applying the tests to standardized … designed to test sequentially for the presence of multiple changes in volatility. An application to emerging markets stock …

penalised through higher capital charges. This paper investigates the performance of five popular volatility models that can be …