In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …

-day and intra-day volatility models by estimating the AR(1)-GARCH(1,1)-skT and the AR(1)-HAR-RV-skT frameworks, respectively … intra-day volatility model is not as appropriate as it was expected to be for each of the different asset classes; stock … performance of the inter-day and intra-day volatility models across various markets. The inter-day specification predicts and …

volatility in the Gulf Cooperation Council (GCC) countries. It employs both the multivariate ordinary least square (OLS … suggest that the volatility of stock returns affected by changes in the risk factors could indicate non-prioritisation of risk …

the study of the distribution properties of price volatility in the international exchange market …

due to taxation and how emergent properties from the interaction of traders like bubbles and crashes, excess volatility …, excess kurtosis and volatility clustering change. Numerical simulations reveal that under taxation traders abstain from short …-term trading in favour of longer investment horizons. This change in behavior leads to less excess volatility and diminishing …

investment horizons. This change in behavior leads to less volatility and less mispricings. When the tax rate exceeds a certain …

methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …

This paper focuses on modeling the evolution of volatility deterministically through (G)ARCH models and compares the …

Option prices seem to behave in ways inconsistent with the Black-Scholes model. Implied volatility varies with the … strike price in a parabolic shape that is often called the volatility 'smile.' My objective in this paper is to identify … promising in explaining the volatility smile. Applying this to the ERM data, I find that the probability of a devaluation in the …

This paper extends the FIGARCH long-memory volatility model to a multivariate framework. The proposed quasi maximum … satisfactorily. A trivariate specification is applied for modelling jointly the daily volatility of foreign exchange rates of the …