This paper introduces a new class of long memory model for volatility of stock returns, and applies the model on squared returns for BRICS (Brazil, Russia, India, China, and South Africa) countries. The conditional first- and second-order moments are provided. The CLS, FGLS and QML estimators...

Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that stochastic heteroskedastic behaviour in prices can only be modelled correctly when the conditional mean of the time series is properly modelled. In this paper we consider different...

The volatility information content of stock options for individual firms is measured using option prices for 149 U.S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock returns, at-the-money implied volatilities and...

The current paper studies equity markets for the contagion of squared index returns as a proxy for stock market volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including the US, UK, Euro Zone and BRICS (Brazil, Russia,...

This study is designed to model and forecast Nigeria's stock market using the AllShare Index (ASI) as a proxy. By employing the Markov regime-switching autore-gressive (MS-AR) model with data from April 2005 to September 2019, the studyanalyzes the stock market volatility in three distinct...

In this paper an in-depth analysis of the estimation of the realized volatility Wishart Autoregressive model is presented. We focus in particular on the estimation of the degrees of freedom. A new estimator is proposed. Monte Carlo simulations show that this novel estimator is more efficient...