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 …

financial applications with long memory. In this paper, we develop a new realized stochastic volatility (RSV) model with general … information from returns and realized volatility measures simultaneously. The long memory structure of both models can describe … three stock market indices. The estimation and forecasting results indicate the adequacy of considering general long memory …

memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the … corresponding statistical properties of this model, discuss the spectral likelihood estimation and investigate the finite sample …

volatility) associated with financial returns, was the portmanteau statistic for non-causality in variance of Cheng and Ng (1996 … the paper is to derive a simple test for causality in volatility that provides regularity conditions arising from the …

volatility) associated with financial returns was the portmanteau statistic for non-causality in the variance of Cheng and Ng … affect the power of the test. The purpose of the paper is to derive a simple test for causality in volatility that provides …

Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH …) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative … shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator (QMLE) of the EGARCH …

Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH …) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative … shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator (QMLE) of the EGARCH …