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The estimation of inflation volatility is important to Central Banks as it guides their policy initiatives for … Heteroscedasticity (GARCH) family with a view to providing a parsimonious approximation to the dynamics of Nigeria's inflation volatility … impact of inflation shocks on headline volatility die out rather quickly. Secondly, substantial evidence of asymmetric effect …
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measures of volatility in an exponential form, which guarantees the positivity of volatility without restrictions on parameters … and naturally allows the asymmetric effects. It provides a more flexible modelling of the volatility than the HEAVY models … of return volatility is driven by the realized measure, while the asymmetric effect is captured by the return shock (not …
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This paper proposes a new clustered correlation multivariate GARCH model (CC-MGARCH) that allows conditional correlations to form clusters. This model can generalize the time-varying correlation structure in Tse and Tsui (2002) by determining a natural grouping of the correlations among the...
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