. The objective of the study is to frame different asymmetric price volatility models for Selected Companies under Energy …. The asymmetric terms in the selected asymmetric models are providing sufficient proof that the stock price volatility of … by the pandemic. The forecasting graphs for volatility of four companies have been plotted, reveals that there is …

and idiosynchratic volatility. Our application to monthly, 1979-2008 U.S. data for stock, bond, and publicly traded real …

modeling the latent process followed by risk exposures and idiosyncratic volatility. Our application to monthly, 1979-2008 U …

In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily … persistence of volatility, meaning that the conditional volatility tends to revert faster to the long-term mean than the other … statistically significant and positive (thus confirming the hypothesis that an increase in volatility leads an increase in future …

between real estate and stock markets by fitting different classes of time-varying volatility model; second, to perform VaR … processes, in terms of mean, volatility, correlation, can be compared. In the econometric analyses, we estimate both a …

volatility, and other non-cap-weighted indices such as high dividend yield, high quality, high and low beta or equal …

nature of the relationship during periods of high and low volatility and in bull and bear markets. The results indicate that …

filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility …, but downgrades increase stock and bond market volatility. Contagion is present, with sovereign rating announcements … (increase) in volatility in other countries. The empirical results show also a financial gain and risk (value-at-risk) reduction …