Heteroskedasticity (GARCH) model, the approach of Bessembinder & Seguin (1992) and the Gray’s (1996) Markov-switching-GARCH model are …

Heteroskedasticity (GARCH) and GARCH-in-Mean models. Volatility “spillovers” are then tested with Vector Autoregressive and Multivariate … GARCH techniques. Overall, six countries can be modeled as a GARCH process, and for three of these, volatility significantly … economic openness and pegs to the Euro combined to destabilize the region. This study measures the output volatility of a set …

This paper explores financial market convergence in East African economies by analysing the long-run volatility trends … in the currencies of this region. In particular, a Component-GARCH model is estimated, which is able to distinguish short …- and long-run volatility dynamics. Common movement of the long-run component is in turn used to infer if financial and …

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 …

We evaluate the role of gold and other precious metals relative to volatility (Volatility Index (VIX)) as a hedge … and a strong safe haven during our sample period. We also find that in periods of extremely low or high volatility, gold …

This study analyzes the interrelationship and volatility between grain and oil prices. Specifically, the objective of … this study is to investigate the volatility transmission mechanism of grain prices with oil prices, under the assumption …

We examine if the risk premia of the size effect on equity REITs (EREITs) are time-varying by using GARCH models. We …-factor model to demonstrate that the size effect exists in EREITs market. We investigate time-varying volatility for size effect by … using a sample of publicly traded EREITs with GARCH family models. We find variation of the size premia partially results …

Purpose –The purpose of this paper is to test whether the volatility of regional stock markets’ is common or country … the fluctuations of common component of stock market volatility. Design/methodology/approach -The paper applies the time …-varying weighting methodology of Lumsdaine and Prasad (2003) to determine whether the volatility fluctuation is country-specific or …

This paper precisely characterizes asymptotic behaviors of the volatilities in nonstationary GARCH(1, 1) models. After … suitable renormalization, it is shown that the volatility converges in distribution to a non-degenerate limit. This provides … more insight into the dynamics of volatilities in nonstationary GARCH models. …