This paper examines persistence in the Ukrainian stock market during the recent financial crisis. Using two different … persistence is not the same in different stages of the financial crisis. Therefore trading strategies might have to be modified …

, focusing on the relationship between returns and conditional volatility. The conditional mean follows a GARCH-M model, while … PGARCH) were tested. We examine how accurately these GARCH models forecast volatility under various error distributions … the following: (i) the Macedonian stock returns time series display stylized facts such as volatility clustering, high …

between the states of the Markov process is linked to the volatility of gold and the macro financial variables to understand …

-run volatility in the spot market increases; Paudyal et al. (2005). Harris (1989) finds that increased volatility in the spot market …, listed on NSE for the period August 2005 to May 2008. Using Hoadley Options, volatility modeled by GARCH (1, 1) is estimated …. Considering both volume and volatility, mixed evidences are witnessed. Futures introduction has some stabilizing effect on large …

intraday volatility measurements and implied ones obtained from options market (VIX). For that we propose the use of intraday … information to estimate volatility for the cases where the stock markets do not have an associated option market. …

volatility impact. Then, we apply it on three Tunisian exchange rate series between 1994 and 2006. As Beine, Laurent and Lecourt …

of long memory in volatility of all the index returns. This shows that FIGARCH model better describes the persistence in …Long memory in variance or volatility refers to a slow hyperbolic decay in auto-correlation functions of the squared or … log-squared returns. GARCH models extensively used in empirical analysis do not account for long memory in volatility. The …

the purpose of the description of the observed persistence in the mean and volatility of a time series. The long memory … volatility in financial series. ARFIMA model also has a considerable capacity for modeling the return behavior of these time …