In this paper, we challenge the traditional assumption of a linear relationship between exchange rate volatility and … volatility positively and significantly influences economic growth when growth in government spending is below 6 percent. Above … this 6 percent threshold, volatility exerts an insignificant effect on economic growth. In light of the adoption of a free …

volatility. This paper proposes the time-varying transition probability Markov-switching GARCH (TV-MSGARCH) models incorporated … BTC logarithmic daily trading volume or Google daily searches as exogenous factors to model the volatility dynamics of BTC …

Over the past couple of decades, the number of volatility indices has increased rapidly. These indices seek to … represent the market's expectation of realized volatility over the coming month, based on the prices of options traded on each … underlying equity index. Although the dynamics of realized volatility spillover have been studied extensively, very few studies …

The paper aims to estimate the impact of calendar effects in volatility of the preferred and ordinary shares of Vale …. The data researched were the stocks prices Vale between January 2, 1995 and October 26, 2011. The Stochastic Volatility … and the public offer of the stocks of Vale changed the behavior of volatility of the shares. The calendar effects have …

Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these … two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer from … these two family forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the …

volatility models. Our approach allows the isolation of the intrisic liquidity of any asset, and thus makes it possible to deduce …

Proper measurement of volatility is vital in financial decisions. Estimating volatility accurately also requires … properly capturing the conditional distribution, fat tails and price spikes. In this study, we model the volatility of Natural …. Results also indicate that the correct volatility level, in GAT distribution, is higher than normal distribution with rates 56 …

Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these … two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer from … these two family forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the …

Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the choice between these … two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer of many … forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the assumptions of jumping …