volatility of a time series. We derive the main properties of the model and apply it to all agricultural commodities in the … volatility process and, according to homoscedasticity tests, outperforms the ARCH(1) and GARCH(1,1) models, some of the most … popular approaches used in the literature to analyze price volatility. Keywords: Agricultural prices, volatility, GARCH models. …

volatility estimation is considered. The empirical analysis is performed on futures contracts of both the Standard and Poors 500 … importance of taking asymmetric effects (leverage effects) into account in volatility forecasts when it comes to risk management …

This paper investigates the effect of inflation volatility on private sector credit growth. The results indicate that … private sector credit growth is positively linked to the one period lagged inflation volatility. Given that past monetary … positive response of private sector credit growth to past inflation volatility suggests a credible monetary policy regime in …

This study compares the performance of GARCH-Type models in modelling inflation volatility in Nigeria covering the … asymmetric volatility models. The empirical examination observes evidence of volatility persistence in the consumer price indices … the role of structural breaks for inflation rate volatility in Nigeria will yield misleading and invalid policy …

day. However, the volatility persistence of ARCH-type models is reflected with relatively high VaR estimates for longer … specified time horizon. -- Bootstrapping ; inflation ; inflation-indexed futures ; Mexico ; Value at Risk ; volatility …

innovation on inflation, a Stochastic Volatility in Mean model (SVM) has been employed. SVM models are generally used to capture … models. Empirical evidence provided here suggests that innovations in inflation volatility increases inflation persistently …

between oil tail risks and inflation volatility (variance of consumer prices) in all our sample countries barring Germany. In … consumer prices, indicating that high risk associated with the oil market causes an increase in the volatility of consumer …