This paper presents a GARCH type volatility model with a time-varying unconditional volatility which is a function of … macroeconomic variables can be easily incorporated into volatility forecasts for share index returns. It transpires that the model … proposed here can lead to significantly improved volatility forecasts compared to traditional GARCH type volatility models. …

conditional volatility through a non-linear moving average process. The NLMACH performance is investigated using a Monte Carlo …

and Perron (2003). Results indicate that there is some evidence of structural breaks in volatility across investigated … variables, playing the realignments in the ERM a significant role in the reduction of volatility in some countries and sub … volatility of the member countries. …

possible to generate a volatility-return trade-off in a regression model simply by introducing dynamics in the standardized … disturbance process. Importantly, the volatility in the GARCH-AR model enters the return function in terms of relative volatility …, implying that the risk term can be stationary even if the volatility process is nonstationary. We provide a complete …