In this paper we compare the performance of different GARCH models such as GARCH, EGARCH,GJR and APARCH models, to … characterize and forecast financial time series volatility in Pakistan. The comparison is carried out by comparing symmetric and … asymmetric GARCH models with normal and fat-tailed distributions for the innovations, over short and long forecast horizons. The …

In this paper we compare the performance of different GARCH models such as GARCH, EGARCH,GJR and APARCH models, to … characterize and forecast financial time series volatility in Pakistan. The comparison is carried out by comparing symmetric and … asymmetric GARCH models with normal and fat-tailed distributions for the innovations, over short and long forecast horizons. The …

The study of volatility inter-dependence provides useful insights into how information is transmitted and disseminated … paper explores volatility spillovers between the Australian and New Zealand stock markets. The objective of the paper is to … determine if volatility surprises in one market influence the volatility of returns in the other market. The existing literature …

the stock market volatility is compared in both the Anglophone world and the Sinophone world. I find that the stock market … volatility and the number of publicly available global news stories are strongly linked to each other in both languages …. Contemporaneous correlations between news and volatility are positive and highly significant, and regressions tell us that the …

(with causal feedback), and that they affect the exchange rate volatility. Finally, with weekly data we highlight that the … euro/dollar volatility "Granger-cause" the rate of return on stocks. …

This study examines the intertemporal relationships between CBOE market volatility index (VIX) and stock market returns … in Brazil, Russia, India, and China (BRIC), and between VIX and U.S. stock market returns, to uncover if VIX serves as an … investor fear gauge in BRIC and U.S. markets. We conduct the VIX-returns analysis for the 1993–2007 period. …

simple expression in terms of the volatility process and an expectation involving the independent process. A standard … procedure for estimating this prediction is to estimate the volatility by gaussian quasi-maximum likelihood (QML) in a first … proposes an alternative one-step procedure, based on an appropriate non-gaussian QML estimation of the model, and establishes …