The benefits of using flight-to-safety (FTS) in volatility forecasting are assessed within a multivariate GARCH framework. In particular, we propose realized semi-covariance between falling equity and rising safe haven returns as a proxy of FTS and we use it to model the conditional distribution...

Stock prices are one of the most volatile economic variables and forecasting stock prices and their returns has proved very challenging, if not impossible. In this paper, we apply a battery of linear and nonlinear models to forecast the returns in nine international stock exchanges for the...

In the context of a continually changing and reforming financial market, stock market volatility plays a vital role in indicating macroeconomic environment changes, market participants' expectation and interaction mechanism. Market volatility research has been conducted by worldwide academics...