The objective of this work is to determine the presence of volatility in the spot and futures exchange rates, detecting …, thus, the presence of risk. Identified the volatility, it is looked for shaping it through the construction of models … volatility of the exchange rates. Gotten the estimates, it is verified existence of convergence of these rates in the date of the …

electricity. In particular by increasing the volatility of prices will eventually lead to higher assets values. …

the most appropriate model to use when one has to evaluate the volatility of the returns of groups of stocks with large … quality of volatility forecast provided by GARCH when compared to any other alternative model, without considering any cost …

-run volatility in the spot market increases; Paudyal et al. (2005). Harris (1989) finds that increased volatility in the spot market …, listed on NSE for the period August 2005 to May 2008. Using Hoadley Options, volatility modeled by GARCH (1, 1) is estimated …. Considering both volume and volatility, mixed evidences are witnessed. Futures introduction has some stabilizing effect on large …

Recent advances in the measurement of volatility have utilized high frequency intraday data to produce what are … generally known as realised volatility estimates. It has been shown that forecasts generated from such estimates are of positive … the loss function under which models of realised volatility are estimated. It is found that employing a utility based …

the extreme values, is a good alternative to the Realized Volatility that requires a large amount of intra-daily data … intra-daily models, such as the Realized Volatility and inter-daily models, such as the ARCH class. The forecasting …

In this paper we employ the news aggregator Google News to demonstrate a strong link between the volatility in the …

This study examines the impact of volatility of FDI, rather than its level on the economic growth of ASEAN-5 countries …. Using bounds testing approach, we show that FDI volatility retards long-run economic growth in Indonesia, Malaysia, the … of FDI volatility. These findings, which are robust to different measures of FDI volatility, are of concern in dealing …

This paper examines behaviors of returns and volatility of ASEAN emerging stock markets (Indonesia, Malaysia …, under the exogenous effects from international gold market such as the 1 day lagged returns and the 1 day lagged volatility … of gold, the GARCH(1,1)-X model captures better stock market volatility behavior than GJR(1,1)-X, except Indonesia …