The purpose of the empirical research study is to analyze the volatility of OMX Tallinn Index in Estonia from 2002 to … Model for each phases of OMX Tallinn Index in Estonia from 2002 to 2022 that could grasp not only the volatility but also … asymmetric volatility caused by various important events for each particular period. The total sample size is 6,032 i.e. 3 phases …

performance. Estimation of the model on Canadian-US cross-listed stocks shows that there is significant heterogeneity and …

parameters are allowed to evolve over time via an observation-driven updating equation. The estimation of the resulting DSGE … application to a DSGE model with time varying volatility for structural shocks is presented. The results indicate a significant …

-step state-space estimation approach the four-factor model produces accurate forecasts and outperforms competitor models across …

, different channels were used to identify the source of inflation persistence and volatility. This was estimated using Bayesian … Nigeria can be modelled by assuming constant volatility as the evidence shows that stochastic volatility (SV) is not a source … an evidence of instability not volatility in the variance of the trend inflation. Secondly, we found that the inclusion …

. However, accurate long-term volatility estimation is difficult because of a general lack of tradable, liquid medium- and long … simple historical volatility estimation and econometric, deterministic and stochastic volatility models; and (2) introducing … remains relevant for all long-term volatility estimation …