distributions in order to create a model with the best forecasting ability on the MSCI index. Substituting the obtained volatility … finds that incorporating volatility estimates as generated by AVGARCH(2,2) with a JSU distribution yields out-of-sample VaR …

A contribution to the study of volatility and country risk is made in order to achieve a successful crosscountry … fractional integration order and determination of the adjusted volatility which best characterizes the economy. This methodology … the series persistence and volatility. Comparing a traditional risk indicator to our suggested one we find that the …

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

demonstrate that geopolitical risk plays an important role in determining both oil price volatility and (to a lesser extent) stock … market volatility. An increase in geopolitical risk is associated with positive (negative) oil (stock) returns and is … correlation. This model shows short- and long-term volatility persistence for oil and stock prices, together with spillover …

We investigate the stock return volatility predictability using firm’s fundamental risk with machine learning … fundamental risk in forecasting future volatility. The nonlinear models, especially the neural networks, outperform the linear … types. Firms with high expected volatility have higher fundamental risk and commonality in fundamental characteristics …

. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … volatility spillover effect. Empirical results show that the NFNE futures exhibit superior effectiveness as an instrument for …

stock return data, which includes both features and allows the co-existence of long memory in volatility and short memory in … returns. We extend this model to allow the financial parameters governing the volatility-in-mean effect and the leverage …

volatility models, namely GARCH(1,1), GJR(1,1) and EGARCH(1,1), are used to measure the short-run and long-run persistence of … tourists. The empirical results show asymmetric impacts of positive and negative shocks on the volatility of the change in the … number of Group-type and Medical-type tourists, while Individual-type tourists display a symmetric volatility pattern …