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 …

Volatility of the financial time series belongs to the crucial estimated parameters in finance (e.g. in risk management …, derivative pricing). It is well known, that volatility varies in time, so that new approaches of volatility modeling have … analysis (R/S) indicate a long memory in the volatility process of PX index and the first 40 autocorrelations of the square log …