mean and volatility. The endogenous structural breakpoint unit root test, the autoregressive distributed lag (ARDL) model …, and alternative volatility models, including the generalized autoregressive conditional heteroskedasticity (GARCH) model … reached a peak in 2008. We also find that that the volatility of global fertilizer prices and crude oil price from March to …

the extreme values, is a good alternative to the “realized volatility” model which requires a large amount of intra … between intra-daily models, such as the realized volatility, and inter-daily models, such as the ARCH class. The forecasting …

This study adopts the SWARCH model to examine the volatile behavior and volatility linkages among the four major … segmented Chinese stock indices. We find strong evidence of a regime shift in the volatility of the four markets, and the SWARCH … evidence suggests that, compared with the A-share markets, B-share markets stay in a high-volatility state longer and are more …

according to the phase of the volatility regime. The model is tested in the US S&P 500 stock market. The empirical findings of …

This paper proposes volatility and spectral based methods for the cluster analysis of stock returns. Using the …

and output volatility on the relationship between trade and economic growth. Design/methodology/approach – The … trade-adjusted GDP growth is robust even after controlling for the effects of income and export volatility. In addition …, neither trade nor GDP volatility bears any impact on the bi-directional causality between imports and unadjusted GDP growth …

fractional integration estimates also for squared returns of the index. Volatility of returns and squared returns increases …

-post volatility measurements. In the process of structuring the portfolio, a key variable is the global volatility. The objective of … this paper is to analyze the Romanian Capital market volatility inside a GARCH framework in order to identify the …

purpose of this paper is to analyze these two indexes in order to capture the volatility inherent in ENSO. The empirical … results show that both the ARMA(1,1)-GARCH(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility …