Volatility is a key concept for understanding the dual relationships between the economic variables since it is … understand which determinants and conditions can affect the volatility. These models mostly show the significant relationships … GARCH-M MIDAS model. We formulate this model on stock prices and exchange rates, in which long run volatility is driven by …

In this paper we examine the issue of asymmetry in the return and volatility spillover effects from the US equity … considerably from those for Mexico. In particular, the empirical results indicate that volatility spillover effects, but not return … market into the Canadian and Mexican equity markets. We model the conditional volatility of the returns in each of the three …

obtained from discrete time models by comparing them with high-frequency ex post estimates (e.g. realised volatility) based on … illustration provides an example of where an explanatory model outperforms realised volatility ex post. …