This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and … degree of persistence and its dynamic behaviour. However, higher persistence is found for the emerging markets examined …

volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including … of volatility. Results from the conditional heteroskedasticity long memory model show the evidence of long memory in the …

, stock market volatility, and geopolitical risks. In particular, our aim is to determine whether these forms of uncertainty … volatility, which impact negatively in share prices, both in the short and long term. Regarding Brazil, the global uncertainty in …

average, exponentially something, AR, and GARCH class models including ARCH, GARCH, GJR- GARCH, and EGARCH. Volatility is … exchanges (TSE), where the market is highly regulated and therefore less subject to volatility. To evaluate the forecasting … with other volatility forecasting models in international exchanges. However, the simple smoothing model provides superior …

In this article the relationship between market return and volatility is examined by applying out-of-sample methodology … unexpected volatility and monthly returns in most of international exchanges. I didn't also find any significant relationship … between forecasted volatility and monthly returns. The results contradict the asset pricing theories which explain a positive …

The research was conducted in order to study the volatility in gold price returns and its investigation. The data has … results investigate volatility. Econometrically speaking, an unequal spread of residuals is referred as heteroskedasticity. In … was concluded that there has been volatility in gold prices …

affect the expected value of local volatility but not its persistence, and a new channel in which global variables affect … local volatility by changing its persistence over time. The economic importance of each channel is measured by its … contribution to the variation of local volatility. We find that the volatility persistence channel is far more important than the …

Unexpected shifts in the realized stock market volatility, often associated with financial crises, carry a … require a premium for holding the risky assets (stocks), which correlate negatively to volatility surprises, while they are … uncertainty. Furthermore, because of their positive loadings on volatility, bonds perform well in bad times, which explains their …