This paper compares volatility forecasts for the RTS Index (the main index for the Russian stock market) generated by … alternative models, specifically option-implied volatility forecasts based on the Black-Scholes model, ARCH/GARCH-type model … information content). Various forecasting performance tests are carried out which suggest that both implied volatility and …

probability for cryptocurrencies to stay in the low volatility regime. This is an interesting finding, that confirms the …

This paper provides some comprehensive evidence on the effects of cyber-attacks on the returns, realized volatility and …

probability for cryptocurrencies to stay in the low volatility regime. This is an interesting finding, that confirms the …

estimation of a GARCH (1,1) model for stock returns shows that their conditional volatility is characterised by lower persistence …

show that a greater reliance on foreign market sales increases the conditional volatility of firms’ stock returns. The two … economically significant effect on firm-level volatility, although an increase in the intensity of sales through foreign affiliates … has a stronger effect on volatility than a similar change in firms’ export intensity. We also uncover evidence consistent …

This paper aims to select the best model or set of models for modelling volatility of the four most popular …