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 …

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 …

The purpose of this paper is to investigate the volatility spillovers between the returns on crude oil futures and oil … be quite low using the CCC model, while the VARMA-GARCH and VARMA-AGARCH models suggest no significant volatility …

forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures …

This study examines the conditional volatility and correlation dependency and interdependency for the four major … volatility. These results have become more pervasive when the exchange rate and FFR are included. Monetary policy also has a …

Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over … a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR). There are four major benchmarks in the …-Pacific), which are likely to be highly correlated. This paper analyses the volatility spillover effects across and within the four …