ARCH and stochastic volatility models. We consider two major dollar exchange rates, and we show that returns standardized …

We propose using the price range, a recently-neglected volatility proxy with a long histoy in finance, in the … estimation of stochastic volatility models. We show both theoretically and empirically that the log range is approximately … Gaussian, in sharp contrast to popular volatility proxies, such as log absolute or squared returns. Hence Gaussian quasi …

much interrelated, and we explore the relationships in detail. Among other things, we show that: (1) Volatility dependence … overwhelming evidence of volatility dependence. (2) The standard finding of little or no conditional mean dependence is entirely … consistent with a significant degree of sign dependence and volatility dependence. In particular, sign dependence does not imply …

Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then …

that background, we explore whether incorporating stochastic volatility improves DSGE forecasts (point, interval, and … policy rate. We find that incorporating stochastic volatility in DSGE models of macroeconomic fundamentals markedly improves … their density forecasts, just as incorporating stochastic volatility in models of financial asset returns improves their …