In this paper we compare the performance of different GARCH models such as GARCH, EGARCH,GJR and APARCH models, to … characterize and forecast financial time series volatility in Pakistan. The comparison is carried out by comparing symmetric and … asymmetric GARCH models with normal and fat-tailed distributions for the innovations, over short and long forecast horizons. The …

In this paper we compare the performance of different GARCH models such as GARCH, EGARCH,GJR and APARCH models, to … characterize and forecast financial time series volatility in Pakistan. The comparison is carried out by comparing symmetric and … asymmetric GARCH models with normal and fat-tailed distributions for the innovations, over short and long forecast horizons. The …

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 … and emerging economies, where a clear gap of research have been found regarding to the BRIC financial markets and the …

The study of volatility inter-dependence provides useful insights into how information is transmitted and disseminated … paper explores volatility spillovers between the Australian and New Zealand stock markets. The objective of the paper is to … determine if volatility surprises in one market influence the volatility of returns in the other market. The existing literature …

the stock market volatility is compared in both the Anglophone world and the Sinophone world. I find that the stock market … volatility and the number of publicly available global news stories are strongly linked to each other in both languages …. Contemporaneous correlations between news and volatility are positive and highly significant, and regressions tell us that the …

(with causal feedback), and that they affect the exchange rate volatility. Finally, with weekly data we highlight that the … euro/dollar volatility "Granger-cause" the rate of return on stocks. …

This study examines the intertemporal relationships between CBOE market volatility index (VIX) and stock market returns … in Brazil, Russia, India, and China (BRIC), and between VIX and U.S. stock market returns, to uncover if VIX serves as an … investor fear gauge in BRIC and U.S. markets. We conduct the VIX-returns analysis for the 1993–2007 period. …

, estimación mediante medias móviles con ponderación exponencial (EWMA) y la estimación mediante modelos de la familia GARCH …

densities and their parametric competitors within different generalized GARCH models such as APARCH and GJR-GARCH. …Generalized autoregressive conditional heteroskedasticity (GARCH) processes have become very popular as models for … financial return data because they are able to capture volatility clustering as well as leptokurtic unconditional distributions …