In this paper we present several new ¯ndings on the NoVaS transformation approach for volatility forecasting … introduced by Politis (2003a,b, 2007). In particular: (a) we present a new method for accurate volatility forecasting using NoVaS … and compare it to realized and range-based volatility measures. Our empirical results show that the NoVaS -based forecasts …

processes. This is especially relevant in the context of volatility predictions for risk management. We further illustrate the …In this paper we contribute several new results on the NoVaS transformation approach for volatility forecasting … present a new method for volatility forecasting using NoVaS ; (c) we show that the NoVaS methodology is applicable in …

processes. This is especially relevant in the context of volatility predictions for risk management. We further illustrate the …In this paper we contribute several new results on the NoVaS transformation approach for volatility forecasting … present a new method for volatility forecasting using NoVaS ; (c) we show that the NoVaS methodology is applicable in …

A contribution to the study of volatility and country risk is made in order to achieve a successful crosscountry … the series persistence and volatility. Comparing a traditional risk indicator to our suggested one we find that the … probabilistic distribution different from intrinsic GDP volatility. Clusters arrangement is different with some risk country …

shocks depress volatility on consecutive days, while negative shocks increase volatility. Announcement-day shocks have small … persistence, but great impacts on volatility in the short run. Investigation into volume data shows that announcement-day volume … has lower persistence than non-announcement-day volume. No statistically significant risk premium manifests on the release …

quality of volatility forecast provided by GARCH when compared to any other alternative model, without considering any cost … more advanced and complex models. Ultimately, its scope is to offer support for the rationale behind of an idea: GARCH is … the most appropriate model to use when one has to evaluate the volatility of the returns of groups of stocks with large …

portfolios formed of hundreds or thousands of stocks, for the scope of volatility (and therefore risk) forecasting, PCGARCH is …The thesis proposes to assess the risk topic in the context of foreign investment decisions. In identifying two main … risk-related concepts, I have split risks in two categories using a unique criterion: the ratio between the endogenous and …

volatility prediction models is to accurately estimate volatility. In this study, MA, EWMA, GARCH (1,1) and IGARCH models have … other market players aspire to know whether there is volatility in the market and to determine the structure of such … fluctuations in case they exist. In addition to this, the accurate volatility estimation models are required to be able to conduct …

conditional volatility of oil spot and futures prices using three GARCH-type models, i.e., linear GARCH, GARCH with structural … GARCH-based conditional volatility processes for energy prices. Second, long memory is effectively present in all the series … considered and a FIGARCH model seems to better fit the data, but the degree of volatility persistence diminishes significantly …