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. …

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 …

The estimation of inflation volatility is important to Central Banks as it guides their policy initiatives for … Heteroscedasticity (GARCH) family with a view to providing a parsimonious approximation to the dynamics of Nigeria's inflation volatility … impact of inflation shocks on headline volatility die out rather quickly. Secondly, substantial evidence of asymmetric effect …

In assessing drivers of commodity prices and volatility at this stage of the current super-cycle in commodities (year …

This paper discusses estimation of US inflation volatility using time varying parameter models, in particular whether … it should be modelled as a stationary or random walk stochastic process. Specifying inflation volatility as an unbounded … frequency behaviour commonly observed in estimates of volatility. We therefore propose an alternative model with a change …

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 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 …