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 … and emerging economies, where a clear gap of research have been found regarding to the BRIC financial markets and the …

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …

įvertinti GARCH (CGARCH(1), CGARCH(2)) ir FIGARCH(1,d,1)) modeliais maksimalaus tikėtinumo metodu. Taip pat bus sukurtas NASDAQ … Component GARCH (CGARCH(1), CGARCH(2)) and FIGARCH models maximum likelihood method. Also we built NASDAQ- NYSE relative …Keliami uždaviniai: GARCH modelių klasės taikymas ilgo periodo finansiniams duomenims: modelių parametrų paieška, jų …

conditional heteroskedasticity (GARCH) model is used to identify the magnitude and significance of mean and volatility spillovers … large number of significant innovation and volatility spillovers between the futures and spot markets indicates the presence … of strong ARCH and GARCH effects. Contrary to evidence from studies in North American electricity markets, the results …

valuation of the asset at any given time. However, most models for forecasting the return or volatility of assets completely … simple adaptation to the GARCH model to make the model aware of news. We propose that the content of news is important and … Australian markets which show that this model improves high frequency volatility forecasts. This is most evident for news which …

This study analyzes the impact of stock market liberalization on emerging equity market volatility, in twelve emerging … for each market. The purpose of this study is three-fold. First, a univariate GARCH methodology is utilized to examine the … time-varying nature of conditional volatility following initial market opening. Second, we analyze the effect of …

volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …

We quantify the effects on contingent claim valuation of using an estimator for the volatility of a geometric Brownian … motion (GBM) process. That is, we show what difficulties can arise when failing to account for estimation risk. Our working … problem uses a direct estimator of volatility based on the sample standard deviation of increments from the underlying …

-persistence to occur in the multivariate linear GARCH model are presented. These conditions parallel the conditions for linear co …