We present a methodology based on Fourier series analysis to compute time series volatility when the data are …

-parametric regression approach to next-day volatility forecasting. A second finding is that the GARCH(1,1) model severely over-estimated the … unconditional variance leads to poor volatility forecasts during the period under discussion with the MSE of GARCH(1,1) 1-year ahead … volatility more than 4 times bigger than the MSE of a forecast based on historical volatility. We test and reject the hypothesis …

Modeling volatility during a financial crisis where massive shocks are generated presents an ideal environment for … investigating the dynamics of volatility during periods of extreme fluctuations for comparison with volatility during more tranquil … periods. The objective of this paper is to study volatility of daily stock returns listed on the Egyptian Exchange during the …

individual effects on economic growth and volatility using the power-ARCH framework with annual data since the 1890s. The results …

This paper constructs unbiased and model-free measures of daily and hourly volatility of the overnight interest rate … increases in volatility and the most notable variations of its intraday pattern occur at the end of the reserve maintenance … period and at the end of each quarter. The average effect on market volatility of Eurosystem money market operations and …

propose a method of estimating the return volatility when the price process is described by a fractal Brownian motion with …

We propose a nonparametric likelihood inference method for the integrated volatility under high frequency financial … likelihood statistic under the constant and general non-constant volatility cases. In contrast to the existing literature, the …