We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and … for modeling the ISE-100 return volatility. The t-distribution seems to characterize the distribution of the heavy tailed … model to the historical ISE-100 return data indicates that the return volatility reacts to bad news 24% more than they react …

volatility models which are closely related to the traditional exponential GARCH model. The new representation has three main … the new class of nonlinear volatility models, something which has proven very difficult even for the traditional EGARCH …

possible to generate a volatility-return trade-off in a regression model simply by introducing dynamics in the standardized … disturbance process. Importantly, the volatility in the GARCH-AR model enters the return function in terms of relative volatility …, implying that the risk term can be stationary even if the volatility process is nonstationary. We provide a complete …

for the Realized Volatility in a general endogenous time setting. We also establish a central limit theorem for the …

volatility clustering, as is typically the case for financial time series such as exchange rate returns. Our claim builds on … methods will yield power gains in the presence of fat tails and persistent volatility clustering, and the strength of these …