This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign … exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet … parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well …

futures prices on the London LIFFE and the New York CSCE by means of multivariate GARCH models - under the assumption that … the commodity futures price. The significance and form of volatility spill-over effects of a bilateral exchange rate are …

other (GARCH, ARMA) predictors of volatility calculated from historical exchange rate data. These results are in line with …Market analysts and central banks often use the implied volatility of FX options as an indicator of expected exchange … deviate the value of implied volatility from the exchange rate variability expected by the market. These biasing factors are …

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 …

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 …

-switching GARCH model this paper estimates the volatility processes of four EMU exchange rate returns vis-?-vis the German mark using … rates at a given future date triggers a reduction in exchange rate volatility during the interim period. Using a Markov … Interimsphase bewirkt. Auf der Basis eines Markov-Switching GARCH Modells schätzt diese Arbeit die Volatilitätsprozesse von vier EWU …

than the GARCH model in estimating the volatility of the Australian stock returns. However, another interesting finding is … that the EGARCH model with volatility equation without news demonstrates a larger (smaller) leverage effect of the negative …This paper studies the effect of COVID-19 on the volatility of Australian stock returns and the effect of negative and …

-19 pandemic. We applied the GARCH (1, 1), GJR-GARCH (1, 1), and EGARCH (1, 1) econometric models on the daily time series … the market volatility and asymmetric behavior of Bitcoin, EUR, S&P 500 index, Gold, Crude Oil, and Sugar during the COVID … returns data ranging from 27 November 2018 to 15 June 2021. The empirical findings show a high level of volatility persistence …

applies the GARCH family of models to examine financial volatility as a function of institutional volatility. The results from …The volatility of financial markets has been a relevant topic for transition economies, as the countries of Central and … Eastern Europe and the former Soviet Union have seemingly en-dured high levels of volatility in their financial sectors during …

This paper provides empirical evidence that combinations of option implied and time series volatility forecasts that … application is for volatility forecasts of the Mexican Peso-US Dollar exchange rate, where realized volatility calculated using … intra-day data is used as a proxy for the (latent) daily volatility. …