This paper tests whether it is possible to improve point, quantile and density forecasts of realized volatility by … more information for the evolution of the volatility distribution beyond that contained in its own past. The best …

This paper attempts to explore the comparative ability of different statistical and econometric volatility forecasting … models in the context of Zimbabwe stock market. Two different models were considered in this study. The volatility of the ZSE … volatility clustering, fat tails and leverage effect, these models are GARCH (1,1) and exponential GARCH (1,1). The first model …

average, exponentially something, AR, and GARCH class models including ARCH, GARCH, GJR- GARCH, and EGARCH. Volatility is … exchanges (TSE), where the market is highly regulated and therefore less subject to volatility. To evaluate the forecasting … with other volatility forecasting models in international exchanges. However, the simple smoothing model provides superior …

This study examines the statistical properties required to model the dynamics of both the returns and volatility series … adequately estimate long-memory dynamics in returns and volatility. The in-sample diagnostic tests as well as out … conditional volatility and strongly support the estimation of dynamic returns that allow for time-varying correlations. A …

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 …

issue is particularly important for persistent time series, we focus on volatility modelling, specifically modelling of … realized volatility. We suggest a simple way of adjusting volatility models, which we illustrate on an AR(1) model and the HAR … more than 15 years, and we find that our extension improves the volatility models—both in sample and out of sample. For HAR …

for forecasting the volatility of both the TASI and the TIPISI in the context of petrochemical industries, as this model … outperforms the other models in model estimation and daily out-of-sample volatility forecasting of the two indices. This study is …

Due to the high relevance of 1-day volatility forecasts and the increasing demand for zero-day-to-expiration (0DTE …) options on the S&P 500, the Cboe recently introduced the 1-Day Volatility Index (VIX1D). Compared to the longer …-term volatility indices of the VIX family, it is overall lower and more volatile, shows a weaker negative correlation with the S&P 500 …

. This study uses the Diebold and Yilmaz index model to analyze and measure volatility spillovers and interconnectedness … among APEC stock markets. The objective is to identify major transmitters of volatility spillovers and assess the magnitude … of different crisis cycles. The results show that the US is the major contributor (69.54%) to volatility spillovers in …