The three most popular univariate conditional volatility models are the generalized autoregressive conditional … models are important in estimating and forecasting volatility, as well as capturing asymmetry, which is the different effects … on conditional volatility of positive and negative effects of equal magnitude, and leverage, which is the negative …

The three most popular univariate conditional volatility models are the generalized autoregressive conditional … models are important in estimating and forecasting volatility, as well as in capturing asymmetry, which is the different … effects on conditional volatility of positive and negative effects of equal magnitude, and purportedly in capturing leverage …

This paper focuses on the selection and comparison of alternative non-nested volatility models. We review the … traditional in-sample methods commonly applied in the volatility framework, namely diagnostic checking procedures, information … volatility models, namely GARCH, GJR, EGARCH, and Stochastic Volatility that are widely used to capture asymmetry and leverage …

Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits … asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between … the risk-neutral and objective expectations of the volatility, is distinctly less persistent and appears short …

Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits … asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between … the risk-neutral and objective expectations of the volatility, is distinctly less persistent and appears short …