Stochastic variance models where the logarithmic volatility is modelled by an ARMA process and models with conditional … heteroscedasticity for daily returns are studied. Volatility of monthly relative changes computed as a product of daily changes is …

countries. This paper tests the effects of price uncertainty (volatility) on economic growth. The model is constructed using a … effect on growth on developing countries. Despite volatility series are not constant through time, we found a homogenous …

instruments. We calculate the volatility in each of these three alternative income metrics for a sample of French banks during … 2005 to 2006, and test the risk-relevance of these different volatility measures. We find that for the average bank, the … volatility of comprehensive income is nearly twice that of net income, and the volatility of full fair value income is nearly …

affect the conditional inflation volatility in Minas Gerais with a delay. …

The volatility of 19 agricultural commodity prices are examined at monthly and annual frequencies. All of the price … series are found to exhibit persistent volatility (periods of relatively high and low volatility). There is also strong … evidence of transmission of volatilities across prices. Volatility in oil prices is found to be a significant determinant of …

of absolute log return, which is a typical measure of volatility, for each period. We find that (i) the tail of the …