Heteroscedasticity) volatility dynamics. DCS models are robust to extreme observations, whereas standard financial time series models are … observations, stochastic seasonality with dynamic amplitude, and volatility dynamics. These seasonality dynamics of the GTQ/USD are …

exchange rate with respect to the currencies of major trading partner country USA. The daily data is used for the time period … distribution. We find that the volatility of the Pakistani rupee is best elucidated by the EGARCH process as using the past … volatility. The coefficient of moving average of the conditional mean equation suggests that percentage change in the exchange is …

breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng's algorithm … breaks in volatility, while Cheng's technique works well only when a single break occurs. …

-a-vis four other currencies. The impact of exogenous variables in modelling volatility is considered using both the GARCH (1 … indicate that the majority of the parameters are significant and that volatility is quite persistent. Furthermore, the results …

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …

estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or …This paper considers forecast averaging when the same model is used but estimation is carried out over different … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or …This paper considers forecast averaging when the same model is used but estimation is carried out over different … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …