for modeling the ISE-100 return volatility. The t-distribution seems to characterize the distribution of the heavy tailed …We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and … model to the historical ISE-100 return data indicates that the return volatility reacts to bad news 24% more than they react …

EGARCH with Student’s t-distribution offers lower forecast errors in modeling conditional volatility … intensified the returns vulnerability of banking indices. Against this backdrop, this study intends to model the volatility of the … literature in three ways. First, volatility during the sample period, which corresponds to a time of stress (a bear market), is …

This paper introduces a new specification for the heterogeneous autoregressive (HAR) model for the realized volatility …

score dynamics. The new test generalizes the ARCH-LM test of Engle (1982) to settings beyond time-varying volatility and …

score dynamics. The new test generalizes the ARCH-LM test of Engle (1982) to settings beyond time-varying volatility and …

It is well known that volatility asymmetry exists in financial markets. This paper reviews and investigates recently … volatility is found, with the preferred model having a weighted threshold variable of local and international market news …