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 … standard volatility models if the simple expedient of using lagged squared demeaned daily returns provides a better RV …

relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the … affect ETF returns. The ARCH-LM test shows conditional heteroskedasticity in the estimation of ETF returns, so that the …

This paper investigates the conditional correlations and volatility spillovers between crude oil returns and stock … empirical results from the VARMA-GARCH and VARMA-AGARCH models provide little evidence of volatility spillovers between the …

The stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between … the innovations in returns and volatility. In this paper, we propose a new asymmetric stochastic volatility model based on … returns and volatility. The new model is estimated by the efficient importance sampling method of Liesenfeld and Richard (2003 …

microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility …. Even bias-corrected and consistent (modified) realized volatility (RV) estimates of the integrated volatility can contain … residual microstructure noise and other measurement errors. Such noise is called “realized volatility error”. As such …

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 …

Modeling volatility, or predictable changes over time and space in a variable, is crucial in the natural and social … sciences. Life can be volatile, and anything that matters, and which changes over time and space, involves volatility. Without … volatility, many temporal and spatial variables would simply be constants. Our purpose is to propose a scientific classification …