Prediction of volatility is to a larger extent anchored on the properties of a volatility time series i.e. mean …-reversion or random-walk. The consistency of mean-reversion or random-walk on the ZSE stock price and return volatility remain … unexplored. This study therefore attempts to investigate the behavior of ZSE stock price and return volatility using the class of …

This paper is devoted to testing for the explosive bubble under time-varying non-stationary volatility. Because the … upsurge behavior of cryptocurrency time series in the middle of the sample is partially explained by the volatility change …

We study the VIX Index, often referred to as “the investor's fear gauge,” relative to the observed volatility of the S …&P 500 Index, the VIX is considered as a forecasting indicator of the S&P 500 Index's volatility over a one-month period. We … examine the daily VIX and S&P 500 Index volatility data for the 20-year period between 1990 and 2009 and find that VIX lags …

The focus of the volatility literature on forecasting and the predominance of the conceptually simpler HAR model over … long memory stochastic volatility models has led to the fact that the actual degree of memory estimates has rarely been … realized volatility and the potential of spurious long memory. In this paper we provide a comprehensive analysis of the memory …