under rational expectations. We also find that risk measures, in the form of conditional interest rate volatility, are …

Statistical measures of the volatility of exchange rates, interest rates, and stock prices are estimated for a number … of countries. Periods of high volatility are identified and compared with periods of financial difficulty. The results … indicate that GARCH models of volatility could be potentially useful in assessing financial soundness. Daily data are more …

reduced bond yields but have somewhat increased yield volatility in the post-Lehman period. Econometric analyses conducted …, foreign holdings are greatly associated with increased yield volatility. A case study using Poland data elaborates on the …

This paper builds on the ARCH approach for modeling distributions with time-varying conditional variance by using the … (characteristics seen in high-frequency financial time series data), nests the standard normal and Student t distributions, and is …

frequency volatility—i.e., the component of volatility that persists for longer than one harvest year—may be more challenging as … uncertainty regarding its persistence is likely to be higher. This paper measures the low frequency volatility of food commodity … spot prices using the spline- GARCH approach. It finds that low frequency volatility is positively correlated across …

This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility … ""stock market correction"" period. There is also evidence of structural breaks in the stock price and volatility dynamics …

Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility …