This study predicts stock market volatility and applies them to the standard problem in finance, namely, asset … predictive performance relative to the standard volatility models. Furthermore, we construct volatility timing portfolios and …

frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

while adjusting for the volatility risk premium. Relative model performance does not change during the global financial …

The contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and … studies have shown that the application of appropriate error distribution in volatility model enhances efficiency of the model … asymmetric volatility models each in Normal, Student's-t and generalized error distributions with the view to selecting the best …

of asset volatility in developed economies applies also to emerging markets. The important characteristics observed in … asset volatility that we wish to identify and examine in emerging markets include clustering, (the tendency for periodic … regimes of high or low volatility) long memory, asymmetry, and correlation with the underlying returns process. The extent to …

form the best linear forecasts for future volatility we find that the behavioral model generates sensible forecasts that …

This study examines the statistical properties required to model the dynamics of both the returns and volatility series … adequately estimate long-memory dynamics in returns and volatility. The in-sample diagnostic tests as well as out … conditional volatility and strongly support the estimation of dynamic returns that allow for time-varying correlations. A …

In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily … persistence of volatility, meaning that the conditional volatility tends to revert faster to the long-term mean than the other … statistically significant and positive (thus confirming the hypothesis that an increase in volatility leads an increase in future …

issue is particularly important for persistent time series, we focus on volatility modelling, specifically modelling of … realized volatility. We suggest a simple way of adjusting volatility models, which we illustrate on an AR(1) model and the HAR … more than 15 years, and we find that our extension improves the volatility models—both in sample and out of sample. For HAR …