The traditional continuous and smooth models, like the GARCH model, may fail to capture extreme returns volatility. Therefore, this study applies the bivariate poisson (CBP)-GARCH model to study jump dynamics in price volatility of crude oil and heating oil during the past 20 years. The...

The traditional continuous and smooth models, like the GARCH model, may fail to capture extreme returns volatility. Therefore, this study applies the bivariate poisson (CBP)-GARCH model to study jump dynamics in price volatility of crude oil and heating oil during the past 20 years. The...

In this paper, we investigate the information contents of S&P 500 VIX index and range-based volatilities by comparing their benefits on the GJR-based volatility forecasting performance. To reveal the statistical significance and ensure obtaining robust results, we employ Hansen's SPA test (2005)...

In this paper, we investigate the information contents of S&P 500 VIX index and range-based volatilities by comparing their benefits on the GJR-based volatility forecasting performance. To reveal the statistical significance and ensure obtaining robust results, we employ Hansen's SPA test (2005)...