ability of delivering volatility estimates. The second one is to contribute to extend the very scarce empirical research on … adequate GARCH family models for estimating volatility in the Macedonian stock market are the asymmetric EGARCH model with …

tests. Secondly we employ smooth transition and conditional volatility models to uncover the dynamics of the first two … moments and examine weak from efficiency. The empirical stylized facts of volatility clustering, leptokurtosis and leverage …

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 …

This paper provides empirical evidence that combinations of option implied and time series volatility forecasts that … application is for volatility forecasts of the Mexican Peso–US Dollar exchange rate, where realized volatility calculated using … intra-day data is used as a proxy for the (latent) daily volatility. -- Composite Forecasts ; Forecast Evaluation ; GARCH …

financial assets with fat tails, asymmetry, periodic behaviors in the conditional variances, and volatility clustering. The gold …

for modeling the ISE-100 return volatility. The t-distribution seems to characterize the distribution of the heavy tailed …We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and … model to the historical ISE-100 return data indicates that the return volatility reacts to bad news 24% more than they react …

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 …

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 …

EGARCH with Student’s t-distribution offers lower forecast errors in modeling conditional volatility … 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 …