, stochastic volatility, and GARCH affect any risk premia in a wide class of DSGE models. To quantify these effects, we then set up … a standard New Keynesian DSGE model where total factor productivity includes rare disasters, stochastic volatility, and … stochastic volatility and GARCH is an increase in the variability of this premium. …

integration of global financial markets, mega-terrorist events also have a high contagion potential with their shock waves being … indicate that the volatility of stock market returns is increased in all cases examined. …