Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is …(3) SV model generates a time series for the variance state variable that is strongly negatively correlated with a GARCH …;unspanned stochastic volatility (USV).quot; Of the models tested, only the A1(4) USV model is found to generate both realistic volatility …

It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively … correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level … empirical evidence on asymmetry to Japanese stocks. Although volatility asymmetry is present and significant at the market and …

, accounting for almost half the skewness and excess kurtosis of standard monthly GARCH residuals. Estimated volatility discounts …It is sometimes argued that an increase in stock market volatility raises required stock returns, and thus lowers stock … prices. This paper modifies the generalized autoregressive conditionally heteroskedastic (GARCH) model of returns to allow …

with volatility …

) and another intrinsically worthless medium of exchange, not controlled by a central bank, such as Bitcoin. Agents can … inflation target, while Bitcoin mining is decentralized via proof-of-work. We analyze Bitcoin price evolution and interaction … between the Bitcoin price and monetary policy which targets the Dollar. We obtain a fundamental pricing equation, which in its …

intertemporal feedback between user adoption and token price accelerates adoption and dampens user-base volatility …

the United States to show how stock volatility has changed over time. It also uses various measures of volatility implied … 2008. This episode was associated with historically high levels of stock market volatility, particularly among financial … sector stocks, but the market did not expect volatility to remain high for long and it did not. This is in sharp contrast to …

a GARCH process for conditional volatility. Under such heteroskedasticity, OLS estimators or parameters in single …