We introduce the Realized Exponential GARCH model that can utilize multiple realized volatility measures for the … characterized by a flexible modeling of the dependence between returns and volatility. We apply the model to 27 stocks and an …

We study financial volatility during the Global Financial Crisis and use the largest volatility shocks to identify … major events during the crisis. Our analysis makes extensive use of high-frequency financial data to model volatility and to … determine the timing within the day when the largest volatility shocks occurred. The latter helps us identify the events that …

breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng's algorithm … breaks in volatility, while Cheng's technique works well only when a single break occurs. …

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

the behaviour of returns and their volatility during both the calm as well as various crises/turmoil periods. Besides the …-GJR-GARCH) were estimated in order to examine the volatility switches of the Central European transition stock markets. The t …-distribution of error terms was used to capture the dynamics of analysed returns more precisely. The results proved high volatility …

in return volatility of Bollerslev and Mikkelsen (1996) by introducing a possible volatility-in-mean effect. To avoid … that the long memory property of volatility carries over to returns, we consider a filtered FIEGARCH-in-mean (FIEGARCH …-M) effect in the return equation. The filtering of the volatility-in-mean component thus allows the co-existence of long memory …

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …