The paper examines the relative performance of Stochastic Volatility (SV) and Generalised Autoregressive Conditional … Heteroscedasticity (GARCH) (1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we used the realized volatility (RV … two standard volatility models if the simple expedient of using lagged squared demeaned daily returns provides a better RV …

degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which … forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation … distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized …

The paper examines the relative performance of Stochastic Volatility (SV) and GARCH(1,1) models fitted to ten years of … daily data for FTSE. As a benchmark, we use the realized volatility (RV) of FTSE sampled at 5-minute intervals, taken from … we need either of the two standard volatility models, if the simple expedient of using lagged squared demeaned daily …

The paper examines the relative performance of Stochastic Volatility (SV) and GARCH(1,1) models fitted to twenty plus … years of daily data for three indices. As a benchmark, I use the realized volatility (RV) for the S&P 500, DOW JONES and … volatility models, if the simple expedient of using lagged squared demeaned daily returns provides a better RV predictor, at …

This paper examines whether there is evidence of spillovers of volatility from the Chinese stock market to its … then adopted to test for the persistence of volatility in stock market returns, as represented by stock market indices … conditional correlations and volatility spillover effects across these markets. Each model is used to calculate the conditional …