volatility …

individuals' sleep time exhibits both variability and volatility characterized by stationary autoregressive conditional … young children at home. Volatility is greater among parents with young children, slightly greater among men than women, but … rates. Volatility in sleep spills over onto volatility in other personal activities, with no reverse causation onto sleep …

alternative procedures for univariate volatility modeling and forecasting based on the GARCH, stochastic volatility and realized …Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is …

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 … stochastic volatility (USV)." Of the models tested, only the A1(4) USV model is found to generate both realistic volatility …

, and the theory and application of dynamic volatility models. I treat the latter much more extensively, de …

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 …

volatility that are inconsistent with stationary models for conditional heteroskedasticity, We show the importance of … nonlinearities in stock return behavior that are not captured by conventional ARCH or GARCH models. We also show the nonstationariry …This paper compares several statistical models for monthly stock return volatility. The focus is on U.S. data from 1834 …