The paper examines the relative performance of Stochastic Volatility (SV) and GARCH(1,1) models fitted to twenty plus … years of daily data for three indices. As a benchmark, I use the realized volatility (RV) for the S&P 500, DOW JONES and … volatility models, if the simple expedient of using lagged squared demeaned daily returns provides a better RV predictor, at …

market uncertainty and volatility of the investment instruments. Thus, the prediction of the uncertainty and volatilities of … to identify the best fit model that can predict the volatility of return of Bitcoin, which is in high demand as an … the residuals of the average equation model selected have ARCH effect. Volatility of Bitcoin return series after detection …

daily realized volatility data of Standard & Poor's 500 (S&P 500) and several other indices, we obtained good performance … heterogeneous autoregressive and other models of realized volatility. …

In the class of univariate conditional volatility models, the three most popular are the generalized autoregressive … effects on conditional volatility of positive and negative effects of equal magnitude, and possibly also leverage, which is … the negative correlation between returns shocks and subsequent shocks to volatility (see Black 1979). McAleer (2014 …

-Leibler divergence in empirically relevant settings. We illustrate the theory with an application to time-varying volatility models. We …

volatility of the Standard and Poors 500 index among recent extensions of the heterogeneous autoregressive model. While we find …, improvements achieved by the inclusion of implied volatility turn out to be insignificant. …

This study examines the volatility persistence and asymmetry with exogenous breaks in Nigerian stock market. The study … incorporation of structural breaks while estimating volatility in the Nigerian stock market. This will help to avoid over …-estimation of volatility shocks and restore investor's confidence in the stock market. …