the behaviour of returns and their volatility during both the calm as well as various crises/turmoil periods. Besides the …-GJR-GARCH) were estimated in order to examine the volatility switches of the Central European transition stock markets. The t …-distribution of error terms was used to capture the dynamics of analysed returns more precisely. The results proved high volatility …

We examine the performance of volatility models that incorporate features such as long (short) memory, regime …-t). Second, we perform a comprehensive panel forecasting analysis of the MSM models as well as other competing volatility models … (GMM) estimation are both suitable for MSM-t models, (ii) empirical panel forecasts of MSM-t models show an improvement …

autoregressive moving average (ARMA) time series models and apply our modeling framework to series of daily realized volatility … volatility of individual stocks of the Dow Jones Industrial Average during the period 1995 to 2005. We find strong evidence of … for nonlinearities in long memory models yields significant performance gains. -- Realized volatility ; structural breaks …