factor are typically small, with the annualized unconditional volatility estimated at 0.06%, but highly persistent, with … estimated persistence at 0.98. Evidence of time variation in the volatility of the global factor is overwhelming as there are … times in which volatility could be several times larger than its unconditional level (about ten times in the aftermath of …

financial investments has been debated in the literature. In this study, we compare the volatility of rates of return of …, it is important to model and quantify it. The conditional volatility models from the GARCH family and tail …