The asymmetric power ARCH model is a recent addition to time series models that may be used for predicting volatility …. Its performance is compared with that of standard models of conditional heteroskedasticity such as GARCH. This has …

the forecasts of the volatility of market rates and the correlations between the various market rates (that is, the …, exponentially weighted averages of historical variances and generalised autoregressive conditional heteroskedasticity (GARCH). We … conclude that simple models perform as well as their more sophisticated GARCH counterparts. …

Recent work by Engle and Lee (1999) shows that allowing for long-run and short-run components greatly enhances a GARCH … valuation performance of the Engle-Lee model and compare it to the standard one-component GARCH(1,1) model. We also compare … these non-affine GARCH models to one- and two- component models from the class of affine GARCH models developed in Heston …

return and volatility equations. When using the GARCH (1,1) specification only for the return equation and the Modified-GARCH … (1,1) specification for both the return and volatility equations, findings indicate that the day of the week effect is …

This paper presents a GARCH type volatility model with a time-varying unconditional volatility which is a function of … proposed here can lead to significantly improved volatility forecasts compared to traditional GARCH type volatility models. … macroeconomic information. It is an extension of the SPLINE GARCH model proposed by Engle and Rangel (2005). The advantage of the …

measure of how much GARCH conditional volatility explains squared returns is proposed. The measure indicates that for a …It is shown that the ML estimates of the popular GARCH(1,1) model are significantly negatively biased in small samples … indicate that a high level of persistence in GARCH(1,1) models obtained using a large number of observations has …

news category and by financial market. It is demonstrated that most of the volatility persistence, as observed by GARCH …This paper explores the relationship between daily market volatility and the arrival of public information in four … volatility of US stocks, treasury bills, bonds and dollar were detected. However, the effects - in size and duration - vary by …

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 …