returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …

returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …

returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …

stochastic volatility model in order to construct highly efficient representations. Initially, the SABR approximation of Hagan et …

predictive variance. We show theoretically how this adjustment factor affects both average and volatility of excess returns. We … related to excess volatility as predicted by the model. Further confirming the model's implications, we also show how stock …

The contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and … studies have shown that the application of appropriate error distribution in volatility model enhances efficiency of the model … asymmetric volatility models each in Normal, Student's-t and generalized error distributions with the view to selecting the best …