allows us to obtain an estimator of the conditional volatility per time. this kind of volatility estimation solves the … interpret the conditional probability for the occurrence of a price event within a certain time horizon as a risk measure which … including regressors based on a flexible Fourier form based on intraday and time to maaturity seasonalities. Testing for serial …

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

domestic volatility after good shocks but a bad hedge after crashes …