volatility over the benchmark rational expectations case and exactly matches the standard deviation of consumption. Finally, the … model generates time varying volatility consistent with the data on quarterly equity returns …

This paper employs a bivariate BEKK-GARCH(1,1) model to examine shock and volatility spillovers between crude oil and … equity sector returns. In the market level, there are unilateral spillovers of shock and volatility from oil price to stock … market return. The findings in this paper are crucial for financial market participation to understand shock and volatility …

conditional volatility and strongly support the estimation of dynamic returns that allow for time-varying correlations. A …This study examines the statistical properties required to model the dynamics of both the returns and volatility series … adequately estimate long-memory dynamics in returns and volatility. The in-sample diagnostic tests as well as out …

Commonality in idiosyncratic volatility cannot be completely explained by time-varying volatility. We decompose the … common factor in idiosyncratic volatility (CIV) of Herskovic et al. (2016) into two components: idiosyncratic volatility … innovations (VIN) and time-varyingidiosyncratic volatility (TVV). VIN is priced in the cross section of stock returns, whereas TVV …

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 …