This article analyzed the presence of long memory in volatility in 5 Asian equity indices namely SENSEX, CNIA, NIKKEI …-sample forecast accuracy. The results confirmed the presence of long memory in both the return and volatility series for all the five … markets under study. Among the group, CNIA and STI showed most persistence in both the return and conditional volatility. In …

The financial markets stylized facts, volatility and its relationship with returns tested empirically in Tehran Stock …, 1) - EGARCH (1, 1) are used to determine the process of stock returns and volatility, and by applying ARCH(M) class … models and out-of-sample methodology the relationship between stock return and volatility is examined. The key findings are …

underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be …

Actuaries manage risk, and asset price volatility is the most fundamental parameter in models of risk management. This … study utilizes recent advances in econometric theory to decompose total asset price volatility into a smooth, continuous …

Using Indian bank-level data, we examine the cross-sectional returns predictability for banking stocks in view of the … model alongside bank-specific conditioning information in the form of asset quality variables, operational efficiency …

This study investigates the impact of price limits and trading halts (circuit breakers) on the returns volatility of …-2010. Results indicate that the introduction of price limits and trading halts moderated the volatility in the market. More … significantly, price volatility of equity returns reduced as the price limit symmetric band was increased from 5 percent to 10 …

The volatility of equity and foreign exchange market is an important input to portfolio selection and to asset pricing … models. Many investment decisions and valuation of derivatives frequently rely on predictions of volatility. In this paper we … review the existing empirical literature in forecasting volatility of financial time series. Particularly, we decompose the …