The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized …. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions … from returns to volatility and co-volatility. …

. This study uses the Diebold and Yilmaz index model to analyze and measure volatility spillovers and interconnectedness … among APEC stock markets. The objective is to identify major transmitters of volatility spillovers and assess the magnitude … of different crisis cycles. The results show that the US is the major contributor (69.54%) to volatility spillovers in …

-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 …

This article identifies the best models for forecasting the volatility of daily exchange returns of developing …

formulate a volatility forecast of returns used as an input for determining some subjective views to be included in the Black …

We propose a methodology to include night volatility estimates in the day volatility modeling problem with high … the natural relationship between the realized measure and the conditional variance. This improves volatility modeling by … leverage effect and maintains a mathematical structure that facilitates volatility estimation. A class of bivariate models that …

In this paper, an attempt has been made to model the volatility of NIFTY index of National Stock Exchange (NSE) and … comprises 3736 data points for the analysis by using Box-Jenkins or ARIMA model. The volatility in the Indian stock market … suggested by Hannan-Rissanen. As per the analysis, ARIMA (1,0,1) model was found to be the best fit to forecast the volatility …

volatility. The study investigates whether the asymmetric effects of good and bad news on volatility is present and how … distributional assumptions affect the selection of GARCH models. Compared to two widely used historical volatility models, the simple … the forecasts of loan market volatility. The model comparison involves a regression-based approach, loss functions and …