The article deals with a typical phenomenon of financial time series - volatility. These time series usually embody … intermittent periods of relative "calm" and quite high variability. A volatility modelling of time series is made with the help of … special econometric volatility models which characterize the so-called conditional heteroskedasticity. The goal of this paper …

monetary announcements. Volatility of the returns is accounted for at the beginning and end of the trading session and it …

Estimation of volatility of financial time series plays a crucial role in pricing derivatives. Volatility is often … estimated from historical data; however, it is well known that volatility varies in time. We propose a method to choose a … suitable length of historical data to estimate contemporary volatility. The method is based on adaptation of a procedure used …

depends on the same parameters, which are inputs of NPV method. Additional important parameter is volatility as a measure of … flexibility and surrounding volatility. The best benefits these methods bring when NPV is near to zero. The main areas of their …