capture the main characteristics of asset returns, such as leptokurtosis and asymmetric distribution, volatility clustering … must employ different volatility techniques in order to forecast accurately the VaR for the two trading positions …

principal method used for the research. The results were also illustrated using examples and simulation studies. Volatility … statistical properties of volatility modeling.  …

and robust methodology to examine the effect of real exchange rate volatility on foreign direct investment (FDI) in a …‐2002 were used. ARCH and GARCH models were employed for the determination of real exchange rate volatility, and co … volatility of the real exchange rate has a negative influence on FDI inflow and that the liberalization process has not led to a …

Purpose – The purpose of this paper is to analyse the impact of macroeconomic uncertainty on stock‐price volatility in … volatility models for each macroeconomic variable; namely consumer price index (proxy for inflation), exchange rate, money supply … heteroskedasticity (EGARCH) model. In the second stage volatility effect of macroeconomic variables on stock prices is estimated using …

-2010 period and examine its effects on market volatility. Design/methodology/approach – Herding is examined over portfolios formed … Salmon (2004). Four volatility measures are employed. Findings – The findings depict the presence of herding over two … confirm a linear effect of herding on all volatility measures considered. Stocks exhibiting higher levels of herding or …

a reaction in the market; at any rate, the stock's volatility quite rarely depends solely on such an occurrence …