vary according to whether they are in low or high volatility regimes. …

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH …) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative … subsequent shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator of the EGARCH …

measuring the contemporaneous correlation between the return shock and the volatility shock. We show that the contemporaneous … the proposed model are analyzed. The estimation of the model with the SP500 excess return series lends a mild support for …

In assessing drivers of commodity prices and volatility at this stage of the current super-cycle in commodities (year …

In this paper we discuss univariate and multivariate statistical properties of volatility with the aim of understanding … stock's volatilities and the volatility clustering. Volatility clustering is related to the memory property of the … volatility time-series and therefore to its predictability. Our results show that there exists a relationship between the level …

contribution to overall realized variation and their contribution to predictive regressions of realized volatility. We find …

This study examines the impact of volatility shifts on volatility persistence for three major sector indices of … volatility shifts which are determined by using iterated cumulative sums of squares (ICSS) and modified ICSS algorithms such as … Kappa-1 (κ-1) and Kappa-2 (κ-2). The results indicate that the inclusion of volatility shifts in the model substantially …