the close analogy between the integrated GARCH (1,1) model for conditional volatility and the IMA (1,1) model for squared … the aggregation results by inferring the aggregate parameter in the portfolio volatility equation from the estimated …

The current paper examines the volatility parameters of thirteen stock markets returns (mature and emerging) by GARCH … exists for all stock markets returns and that volatility is persistent and asymmetrical according to the shock nature …. Moreover, the volatility spillover, which is important between the mature stock markets, is checked between the majorities of …

to an oil price increase. Empirical results from the impact of oil price volatility on stock markets volatilities show … that oil price volatility has a significant positive impact for all oil exporting and importing countries expect for Brazil …

growth and shocks volatility in a model with pro-cyclical R&D and imperfect competition in goods and labour markets. We show …

The volatility of financial markets is often assumed constant, but phenomena such as volatility clustering and jumps in … volatility suggest that this assumption is rarely true. Numerous studies have been conducted to investigate the jump or … breakpoint of the volatility phenomenon, and their findings have been applied in modeling volatility. However, few studies …

process on the essential commodities, the futures and spot markets have shown major variations. Increased volatility in asset … inflation guided by the fuelling principle implying the direct relationship between volatility and inflation. Huge price … volatility in futures segment on the commodity exchanges has therefore raised concerns relating to the market efficiencies …

Volatility of Indonesia Rupiah and Jakarta Composite Index remain one of main issues in Indonesia economy after 1997 … Asian crisis. The objectives of this research are (1) determining the volatility of Indonesia Rupiah to US Dollar exchange … rates and Jakarta Composite Index (JCI) and (2) analysing the dynamic volatility transmission between exchange rates and JCI …

In this paper, we test whether the turn-of-the-month (TOM) affects firm returns and firm return volatility differently … affects returns and return volatility of firms. The effects are, however, different for different firms and are dependent on … returns and firm return volatility. …