We propose using the Realized GARCH model to estimate the daily price volatility in the EPEX power markets. The model … specification extracts the volatility-related information from realized measures, which substantially improves the in-sample fit of … that intra-day range is an effective volatility indicator in the power market as the benefit of including intra-day range …

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

-GARCH models to capture time varying volatility and nonlinearity in petrol prices. ANN augmented versions of LSTAR-LST-GARCH models … models, except for the MLP-FIGARCH and MLP-FIAPGARCH models. iv. Volatility clustering, asymmetry and nonlinearity …

volatility index was created to capture the investor expectations about the crypto-currency ecosystem. VCRIX is built based on … CRIX and offers a forecast for the mean annualized volatility of the next 30 days, re-estimated daily. The model was back …

The consistent ranking of multivariate volatility models by means of statistical loss function is a challenging … research field, because it concerns the quality of the proxy chosen to replace the unobserved volatility, the set of competing … realized covariance (RCOV), the proxy that generally provides a consistent estimate of the unobserved volatility. The aim of …

correlation ; Dynamic conditional correlation ; Return comovement ; Variable correlation GARCH model ; Volatility model evaluation …