forecasting the volatility of Tehran stock market in some horizon of forecasting. This paper provides an analysis of regime … switching in volatility and out-of-sample forecasting of the IRAN using daily data for the period 1995-2011. We first model … volatility regime switching within a univariate Markov-Switching framework. Then We provide out-of-sample forecasts of the TEHRAN …

describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

in the MSCI World Developed Market index as of December 31, 2014. We filter out country level data for illiquid and very …

: Turkey-BIST 100, Brazil-BOVESPA, Mexico-IPC, Indonesia-JKSE, Russia-MCX India-SENSEX, and China-SSE) and Gold Volatility … Index (GVZ), Oil Volatility Index (OVX) and Fed fund rates is detected. It is determined that GVZ and OVX individually or …

This article identifies the best models for forecasting the volatility of daily exchange returns of developing …