of stock return volatility. Out-of-sample forecast performances of the FC models and linear models where the coefficients …

The asymmetric power ARCH model is a recent addition to time series models that may be used for predicting volatility …

behaviors are found in all volatility records, whose scaling exponents take similar distributions with similar mean values and … standard deviations. To reconfirm the relation between long-range correlations in volatility and nonlinearity in original …Volatility series (defined as the magnitude of the increments between successive elements) of five different …

the business cycle on the highfrequency volatility of the EUR/USD exchange rate. The results suggest that in general bad … news increases volatility more than good news. The news effects also depend on the state of the economy: bad news increases … volatility more in good times than in bad times, while there is no difference between the volatility effects of good news in bad …

This paper presents a selective survey of volatility topics, with emphasis on the measurement of volatility and a … the long memory characteristics of volatility, and discusses its possible origins and impact on option pricing. To … conclude, the paper discusses statistical tools that discriminate between nonlinearity and nonstationarity. …