This paper examines long memory volatility in international stock markets. We show that long memory volatility is … memory in volatility than emerging and frontier countries and that stock market jumps are negatively correlated with long … memory of volatility. Overall, our results provide some evidence of a link between stock market uncertainty and macroeconomic …

behavior of stock returns over a period of time. Our results show that robust volatility ratio for different k-month periods is … value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite …

compared with historicalsimulation and the J.P. Morgan RiskMetrics technique on a portfolio of stock returns. For predictions …