Current models for predicting volatility do not incorporate information flow and are solely based on historical … predictor of its stock volatility. The results show that future stock volatility is better predicted by our method than the … flow or as an active source for new information influencing future volatility. Our data suggest that semantic content may …

Current models for predicting volatility do not incorporate information flow and are solely based on historical … predictor of its stock volatility. The results show that future stock volatility is better predicted by our method than the … flow or as an active source for new information influencing future volatility. Our data suggest that semantic content may …

This paper explores the influence of the foreign exchange rates variation on the returns and volatility of the stock … sub-samples corresponding to different stages of the Romanian financial markets evolution. The GARCH models employed in … influenced not only the stock returns but also their volatility. However, between March 2010 and December 2012 the impact of the …

2013. In this analysis we employ daily values of five main indexes of Bucharest Stock Exchange. We use GARCH models to … reveal this seasonality not only on indexes returns but also on the capital market volatility. In order to identify the …

2013. In this analysis we employ daily values of five main indexes of Bucharest Stock Exchange. We use GARCH models to … reveal this seasonality not only on indexes returns but also on the capital market volatility. In order to identify the …

– Modified GARCH model (c) Return and Volatility - ARMA-GARCH in mean model – Innovations Model. The findings of the paper …In this study the price, return and volatility behaviour of base metals (aluminium, copper, nickel, lead and zinc …. The paper attempts to demonstrate the linkages in price, return and volatility across the two markets for the five metals …

Union and by the effects of the global crisis. We use GARCH models to identify the monthly seasonality in returns and in …

the volatility of the returns are transmitted from the short to the long section of the forward curve. We find strong … higher the volatility of the return, and the more the returns become independent from the others and follow the dynamics of …

, the standard GARCH approach is used to investigate whether stock return volatility changes over time and if so, whether it …This article investigates the heteroscedastic behaviour of the Indian stock market using different GARCH models. First … is predictable. Then, the EGARCH models are applied to investigate whether there is asymmetric volatility. Finally, (E …