In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily … persistence of volatility, meaning that the conditional volatility tends to revert faster to the long-term mean than the other … statistically significant and positive (thus confirming the hypothesis that an increase in volatility leads an increase in future …

The benefits of using flight-to-safety (FTS) in volatility forecasting are assessed within a multivariate GARCH … volatility. Moreover, when comparing with a benchmark and controlling for data snooping, we find that the proposed model yields …

improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source … for longer horizon volatility forecasts. In this paper we explore the forecasting value of these high fre-quency series in … conjunction with a variety of volatility models for returns on the Standard & Poor's 100 stock index. We consider two so …

framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

to forecast financial markets volatility. The real data in this study uses British Pound-US Dollar (GBP) daily exchange … financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH …

to forecast financial markets volatility. The real data in this study uses British Pound-US Dollar (GBP) daily exchange … financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH … examined to the free parameters. Keywords: recurrent support vector regression ; GARCH model ; volatility forecasting …

while adjusting for the volatility risk premium. Relative model performance does not change during the global financial … crisis, or, if a different forecast horizon, or, intraday sampling frequency is employed, respectively. Finally, our evidence …

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 …

link between monetary policy rate uncertainty and equity return volatility, both in theory and data. This paper uses … for equity variance and volatility at weekly, monthly and even quarterly horizons. The findings imply that market views of …