volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied … Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small … investigating long range dependence in the factor loadings series. Our result reveals that shocks to volatility persist for a very …

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

The volatility specification of the Markov-switching Multifractal (MSM) model is proposed as an alternative mechanism … for realized volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by … volatility models of asset returns. An intra-day data set for five major international stock market indices is used to evaluate …

Brownian motion. -- asymptotic uniformity ; local limit theorem ; volatility …

by estimating the intermittency parameter and forecasting of volatility for a sample of financial data from stock and … foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial …

-GARCH models to capture time varying volatility and nonlinearity in petrol prices. ANN augmented versions of LSTAR-LST-GARCH models … models, except for the MLP-FIGARCH and MLP-FIAPGARCH models. iv. Volatility clustering, asymmetry and nonlinearity …