aggregate U.S. stock market on: 1) the volatility predictions of asymmetric time series models, 2) implied volatility, and 3 …) realized volatility. Both asymmetric time series models and implied volatility predict an increase in volatility following … large negative surprise returns and ex post realized volatility normally rises as predicted. However, while asymmetric time …

This paper studies the intraday volatility of European government bonds under the framework of the multiplicative … component GARCH model (Engle and Sokalska, 2012). Intraday return volatility is specified as the product of daily volatility … debt crisis. We observe large transitory intraday volatility often due to illiquidity effects and outliers. We suggest a …

This paper shows that combinations of option implied and time series volatility forecasts that are conditional on … that this method works well in practice by applying it to volatility forecasts for the Mexican Peso-US Dollar exchange rate …, where the actual value is taken to be the realized volatility measured using intra-day observations …

study we investigate the mean-volatility spillover effects that happen across international stock markets. The study, by … taking into consideration the stock market returns based on various indices, investigates the mean-volatility spillover … precise and separate measures of return spillovers and volatility spillovers. The analysis provides the evidence of strong …

Does Indian sovereign yield volatility reflect economic fundamentals, or whether it is a self-generated force flowing … through markets with little connection to such fundamentals? To answer the question, this research explores the volatility … dynamics and measures the persistence of shocks to the sovereign bond yield volatility in India from 1 January 2016, to 18 May …

intensified the returns vulnerability of banking indices. Against this backdrop, this study intends to model the volatility of the … literature in three ways. First, volatility during the sample period, which corresponds to a time of stress (a bear market), is … more persistent, with an estimated coefficient of 0.995695. Moreover, when volatility rises, it persists for a long time …

This paper evaluates the VaR forecasting performance of the Markov regime switching (MRS) based volatility models … volatility models like the EGARCH or GARCH models with a skewed t-student distribution of return innovations can outperform the …

This paper models and forecasts volatility (conditional variance) on the Ghana Stock Exchange using a random walk (RW … the dynamics of the Ghana stock market volatility over a 10-year period. The competing volatility models were estimated … nonlinearity diagnostic checks. The DSI exhibits the stylized characteristics such as volatility clustering, leptokurtosis and …