duration estimators can be used for the estimation and forecasting of the integrated variance of an underlying semi … high-frequency data better and produce more accurate forecasts than competing realized volatility and option …

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

. Applying our model to high-frequency transaction data, we detect two distinct regimes in the intraday volatility process: a … dominant volatility regime that is observable throughout the trading day representing the risk-transferring trading activity of … investors, and a minor volatility regime that concentrates around market liquidity shocks which mainly capture impacts of firm …

improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source … for longer horizon volatility forecasts. In this paper we explore the forecasting value of these high fre-quency series in … conjunction with a variety of volatility models for returns on the Standard & Poor's 100 stock index. We consider two so …

The contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and … studies have shown that the application of appropriate error distribution in volatility model enhances efficiency of the model … asymmetric volatility models each in Normal, Student's-t and generalized error distributions with the view to selecting the best …

apply generalized method of moments (GMM) estimation. We find that we can get relatively accurate parameter estimates with … form the best linear forecasts for future volatility we find that the behavioral model generates sensible forecasts that …

In order to study the volatility spillovers / the transfer of volatilities from spot and futures markets for the period … VAR models for the volatilities can exhibit the nature of the change in volatility.In a heat wave, the conditional …

volatility of the S&P 500 and FTSE 100 indexes. As a proxy for daily volatility, we consider a consistent and unbiased estimator … of the integrated volatility that is computed from high frequency intra-day returns. We also consider a simple algorithm …

estimation of the state vector and of the time-varying parameters. We use this method to study the time-varying relationship …