This paper investigates the degree of persistence of market fear. Specifically, two different long-memory approaches (R …/S analysis with the Hurst exponent method and fractional integration) are used to analyse persistence of the VIX index over the … future values), whilst during crisis period the level of persistence is increasing. These results can be informative about …

This paper investigates the degree of persistence of market fear. Specifically, two different long-memory approaches (R …/S analysis with the Hurst exponent method and fractional integration) are used to analyse persistence of the VIX index over the … properties change over time: in normal periods it exhibits anti-persistence (there is a negative correlation between its past and …

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …

nonlinearity and asymmetry in the drift, and incorporates the level effect and stochastic volatility in the diffusion function is … asymmetric drift of the short rate, and the presence of nonlinearity, GARCH, and level effects in its volatility. The empirical … volatility of interest rate changes …

ARCH and stochastic volatility models. We consider two major dollar exchange rates, and we show that returns standardized …

The paper examines the relative performance of Stochastic Volatility (SV) and GARCH(1,1) models fitted to ten years of … daily data for FTSE. As a benchmark, we use the realized volatility (RV) of FTSE sampled at 5-minute intervals, taken from … we need either of the two standard volatility models, if the simple expedient of using lagged squared demeaned daily …

The paper examines the relative performance of Stochastic Volatility (SV) and GARCH(1,1) models fitted to twenty plus … years of daily data for three indices. As a benchmark, I use the realized volatility (RV) for the S&P 500, DOW JONES and … volatility models, if the simple expedient of using lagged squared demeaned daily returns provides a better RV predictor, at …

multivariate t. This result is then applied to models of conditionally random volatility and used to derive exact results for the …