Most multivariate variance or volatility models suffer from a common problem, the “curse of dimensionality”. For this … stochastic volatility models. The empirical analysis on stock returns on the US market shows that 1% and 5 % Value …

describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then …

In this survey article, we present a rich extent of literature on volatility and its propagation on financial markets …

examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis … were used to examine the degree or severity of volatility based on the first difference, standard deviation and coefficient … of deviation estimated volatility series for the nominal and real exchange rate of naira vis-a-vis the U.S dollar. The …

rate volatility of the currencies in the West African Monetary Zone (WAMZ) for the period 1960M01-2011M12. The study … selects a sub-sample period of 2000M1 to 2011M12 to investigate whether central bank intervention decreases volatility of the … other countries. The impact of central bank intervention on exchange rate volatility is also found to be inconclusive for …

We apply the GARCH-MIDAS framework to forecast the daily, weekly, and monthly volatility of five highly capitalized … quality, we determine the most important exogenous drivers of volatility in Cryptocurrency markets. We find that the Global … Global Real Economic Activity provides superior volatility predictions for both, bull and bear markets. In addition, the …