volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

This work proposes to forecast the Realized Volatility (RV) and the Value-at-Risk (VaR) of the most liquid Russian … stocks using GARCH, ARFIMA and HAR models, including both the implied volatility computed from options prices and Google … Trends data. The in-sample analysis showed that only the implied volatility had a significant effect on the realized …

augmenting a large class of volatility models with implied volatility and Google Trends data improves the quality of the … during periods of high volatility, when parameters estimates became very unstable. Moreover, several models augmented with … markets, T-GARCH models with implied volatility and student's t errors are better choices if robust market risk measures are …

years. In the energy literature, the returns, volatility and volatility spillovers (namely, the delayed effect of a returns … shock in one asset on the subsequent volatility or covolatility in another asset), among alternative energy commodities … conditional volatility models, specifically the BEKK and DCC models. A serious technical deficiency is that the Quasi …

secular trend and the short run volatility. To do so, we employ 25 series, some of them starting as far back as 1650 and … investigating the dynamics of the volatility of the 25 relative primary commodity prices also allowing for endogenous multiple … breaks. We describe the often time-varying volatility in commodity prices and show that it has increased in recent years …

debt without the risk to Russia's debt sustainability. In 2021, the high budget deficit will remain (no less than 5,0% of …

We examine the long term dynamic relation between inflation and the price of gold. We begin by showing that there is no … cointegration between gold and inflation if the volatile period of the early 1980s is excluded from the data. However, we are also … variation in the gold–inflation linkage suggests gold׳s sensitivity to inflation is related to interest rate changes, a finding …

Russian invasion of Ukraine have significantly impacted Gold market dynamics. Inflation significantly impacts volatility … shocks have a higher asymmetric effect. The VIX positively affects Gold market volatility, suggesting a perceived safe …Purpose - The study examines global Gold market performance and correlations between COVID-19, the Russian invasion …

The research was conducted in order to study the volatility in gold price returns and its investigation. The data has … was concluded that there has been volatility in gold prices … results investigate volatility. Econometrically speaking, an unequal spread of residuals is referred as heteroskedasticity. In …