negative part of volatility, but unlike VaR, describes volatility dynamics. So it allows forecast calculation of the financial …Volatility is one of the most important characteristics of any financial instrument return. The idea which states that … volatility of financial assets and it corresponds well with the efficient market hypothesis. Therefore, all volatility models use …

We observe from the late 1990s an increasing phenomenon of volatility on these following markets: Oil (WTI price … of volatility and overcoming its first definition of risk measure, we have evaluated their interdependencies from a VAR … trajectories from FIGARCH model. This paper is presented as follows: Section 1 opens on a definition of the volatility, Section 2 …

to information arrivals and hence, volatility can be forecast, based on the up-to-date information. However, when the …. When new information arrives, the market's expectations change. Therefore, prices fluctuate. Thus, price volatility is due … frame work to study risk and return, so that, we can gain a better understanding of market volatility. …

We propose a flexible GARCH-type model for the prediction of volatility in financial time series. The approach relies … computationally attractive and feasible for large dimensions. We demonstrate its strong predictive potential for financial volatility …

We analyze several measures of volatility (realized variance, bipower variation and squared daily returns) as …

gains over the equation by equation approach using a four variable fully interdependent model with different volatility …

assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an …