The contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and … studies have shown that the application of appropriate error distribution in volatility model enhances efficiency of the model … asymmetric volatility models each in Normal, Student's-t and generalized error distributions with the view to selecting the best …

value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …

It has been established in the literature that volatility of stock returns exhibits complex properties of not only … volatility clustering, but also long memory, regime change, and substantial outliers during turbulent and calm periods. Hence …, this paper seeks to analyze volatility spillover, co-movements, independence and contagion in the Chinese, Japanese …

The study examines returns spillover, shock, and volatility transmission between Nigeria and selected global stock … benefit from diversification into Nigeria and Japan markets. Except for China and Hong Kong, volatility is relatively more …

the behaviour of returns and their volatility during both the calm as well as various crises/turmoil periods. Besides the …-GJR-GARCH) were estimated in order to examine the volatility switches of the Central European transition stock markets. The t …-distribution of error terms was used to capture the dynamics of analysed returns more precisely. The results proved high volatility …

A conjecture in the literature holds that a large and diversified investor base leads to lower volatility by improving … does not support the conjecture. Instead, volatility increases in the number of investors and in the size of the firm … implications for stock return volatility …

and persistence of volatility from the vantage point of modeling volatility in general and, in particular, in assessing … Cumulative Sums of Squares (ICSS) algorithm to identify the points of sudden changes in the volatility of the Indian stock market … volatility of returns come down drastically. This suggests that ignoring regime shifts in the model may results in an …

issue is particularly important for persistent time series, we focus on volatility modelling, specifically modelling of … realized volatility. We suggest a simple way of adjusting volatility models, which we illustrate on an AR(1) model and the HAR … more than 15 years, and we find that our extension improves the volatility models—both in sample and out of sample. For HAR …