Volatility features of the Nordic day ahead power spot market for a 12-year period up till May 2004 are studied. The … daily logarithmic volatility was measured for this period to be about 16%. This level is well above what is observed for … most other well-studied financial markets. Volatility clustering, log-normal distribution, and long-range correlations are …

of RiskMetrics is the artifact of the choice of the risk measure. First, the outstanding performance of volatility … performance in obtaining Value-at-Risk by simply multiplying volatility with a constant factor is mainly due to the choice of the …

.0,b=5. The volatility auto-correlation function (c(τ)) is positive for several iterations. …

This paper tests whether volatility for equity returns for emerging markets possesses long-range dependence … empirical results suggest that there exists long-range dependence in emerging equity returns' volatility and also that it is … class of GARCH processes, which are currently employed to analyze volatility of financial time series, is misspecified. …

We study the unconditional volatility distribution of the Italian futures market, measuring it via Fourier analysis … volatility levels in its final part, because of the dramatic events following 11 September 2001. Our results show that the … standard assumption of lognormal unconditional volatility has to be rejected for such a turbulent sample, since it is unable to …

We study the volatility of the S&P500 stock index from 1984 to 1996 and find that the volatility distribution can be … very well described by a log-normal function. Further, using detrended fluctuation analysis we show that the volatility is …

time interval [t,t+Δt]. We relate the time-dependent standard deviation of price changes—volatility—to two microscopic … that the long-ranged volatility correlations are largely due to those of N. We then argue that the tail-exponent of the …

(‘volatility’) are long-term correlated. Here we provide evidence that certain subsequences of the returns themselves also exhibit … this long-term memory which is similar to that observed in volatility clustering sheds further insight on price dynamics …