Predicting volatility is a must in the finance domain. Estimations of volatility, along with the central tendency … assignment of diversifying assets in order to form efficient portfolios with a higher risk to reward ratio. The objective of this … research is to analyze the influence of COVID-19 on the return and volatility of the stock market indices of the top 10 …

intervention. Based on a GARCH framework and change point detection, we test for a structural break in the effectiveness of … volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized. …

breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng's algorithm … is carried out via numerical simulation in the case of simulated T-GARCH models and two real series, namely German and US … breaks in volatility, while Cheng's technique works well only when a single break occurs. …

moderation of output volatility compared to the well-known break during the mid-1980s. The period of analysis runs from 1962Q2 to … unconditional volatility and procedures of structural break detection (Inclan-Tiao test and autoregressive conditional …

The aim of this paper is to study the integration of volatility in the three markets, viz. spot, futures and options … moments (GMM) is used to capture the simultaneous equation modelling of volatility in the three markets. The integration of … the volatility in the three markets is also tested for structural breaks. The main finding of the paper is that the …

We use an information-theoretic approach to interpret Engle's (1982) and Bollerslev's (1986) GARCH model as a model for … may be generalized, if we use alternative measures of volatility. We choose one feasible alternative and derive a … generalized volatility model. Applying this model to some exemplary market indices, we are able to give some empirical evidence …

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 …

This paper investigates the forecasting performance of three popular variants of the non-linear GARCH models, namely VS-GARCH …, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock … price indexes. Forecasts produced by each non-linear GARCH model and each index are evaluated using a common set of …

concentrate on modeling the conditional mean. However, financial time series exhibit certain stylized features such as volatility … to address this issue and to gain insights on the volatility patterns of CDS spreads, bond yield spreads and stock prices …. A generalized autoregressive conditional heteroscedasticity (GARCH) model is applied to the data of four large US banks …

change was observed both in the correlation and volatility levels for specific market segments, as well as in the market … wider assessment of the systemic risk in the financial markets. The key results point towards a decreased uncertainty in … positive signal for future system stability, it also evidences that the widely used GARCH and DCC specifications turn to be …