We overview different methods of modeling volatility of stock prices and exchange rates, focusing on their ability to … is the central topic of this study. We propose a detailed survey of recent volatility models, accounting for multiple … stochastic volatility model families and often borrow methodological tools from statistical physics. We compare their properties …

Using high frequency data, we have studied empirically the change of volatility, also called volatility derivative, for … various time horizons. In particular, the correlation between the volatility derivative and the volatility realized in the … heterogeneous structure of the market according to the characteristic time horizons of the different agents. It reveals a volatility …

volatility. The research also examines the impact of powerful foreign capital markets on the Greek Stock Exchange market, the … seasonality returns (Day-of-the-Week effect) and the volatility structure. Design/methodology/approach - The analysis of data is …-GARCH model demonstrate that the debt crisis and, therefore, its consequences increase the FTSE / ASE 20 index volatility and the …