valuation of the asset at any given time. However, most models for forecasting the return or volatility of assets completely … Australian markets which show that this model improves high frequency volatility forecasts. This is most evident for news which …

We analyse the puzzling behavior of the volatility of individual stock returns around the turn of the Millennium. There … volatility trend. We find that many of the different explanations capture the same unusual trend around the Millennium. We find … exlplain the time-series behavior in volatility. It seems thai all of the variables that track average volatility well do so …

.---------------------------------------------The analysis of volatility in the prices received by producers of coffee in the international market has demonstrated the … persistence of volatility in the group was observed by empirical measurement of econometric models GARCH. The test ARCH … volatility. The sum of the coefficients of reaction (ARCH) and persistence (GARCH) resulted in values very close to 1 for these …

Despite the fact that there is a substantial literature on the analysis of volatility spillovers between stock returns … and domestic exchange rates, surprisingly, little empirical research has examined volatility spillovers between oil prices …

The objective of this work is to determine the presence of volatility in the spot and futures exchange rates, detecting …, thus, the presence of risk. Identified the volatility, it is looked for shaping it through the construction of models … volatility of the exchange rates. Gotten the estimates, it is verified existence of convergence of these rates in the date of the …

pork chainand also to characterize the price volatility considering producer, wholesale and retailprices for the state of … for measuringprice volatility. A Granger causality test was also implemented to check the pricedirection transmission. The …

Few studies have examined the impact of portfolio concentration upon the realised volatility of stock index portfolios … volatility and increases in the equally weighted components of the realised VCM. The results have important implications for … portfolio managers concerned with the effect of changing portfolio weights upon portfolio volatility. They are also relevant to …

) incommodity futures price volatility spurious, following Granger?s conjecture? Yes,only two out of eleven commodities are ….Second, do large Index Traders such as commodity pools and pension funds increasefutures price volatility through a large volume …