The uncertainty of U.S. core inflation, measured by the stochastic volatility of forecast errors, has soared to a level …

method is compared in its ability to capture the dynamics of short rate volatility to a class of one-factor diffusion models … semiparametric approach produces more accurate volatility estimates than models that accommodate asymmetry, levels effect and serial … volatility of interest rate changes. The improvement in modelling short rate volatility using the new procedure has implications …

Macroeconomic uncertainty—the conditional volatility of the unforecastable component of a future value of a time series …

This study provides analytical insight on modelling macroeconomic and oil price volatility in Nigeria. Mainly, the … GARCH - M); and oil price is a major source of macroeconomic volatility in Nigeria. By implication, the Nigerian economy is … vulnerable to both internal shocks (interest rate volatility, real GDP volatility) and external shocks (exchange rate volatility …

volatilityinduced stationarity. Our model employs a leveldependent conditional volatility that maintains stationarity despite the …

We scrutinize the impact of dividend policy on stock price volatility by considering the seminal paper of Baskin (1989 …). In this context, we examine the relationship between volatility and three dividend policy indicators, dividend yield …

Modelling the volatility (or kurtosis) of the implied volatility is an important aspect of financial markets when … GARCH systems to model the volatility of the FTSE 100 Implied Volatility Index (IV). We use GARCH, EGARCH, GJR-GARCH and … other asymmetric models unless there is exceptionally high volatility such as the crisis of 2008 in which case EGARCH …

(Applied Financial Economics, 13, 693-700, 2003) on inflation and output on stock returns and volatility is extended by … emerging markets (Malaysia, India, Korea and Philippines). Results reveal that economic volatility, as measured by movement in … inflation, output growth, and interest rate, has weak predictor power on stock market volatility and returns. In line with the …

This paper examines whether macroeconomic instability can influence stock market volatility in a sample of 5 emerging … discordant from one country to another, but when a dynamic panel GMM is estimated, exchange rate volatility is found to be the …