Realized stock return volatility is modelled with a distribution based on the Laplace distribution. The moment … properties of suggested volatility distribution, η(σ|λ), are derived. The properties of distribution correspond to the empirical … estimating λ from returns distribution f(x|λ) directly instead of volatility distribution based on bias sensitive standard …

moving average process. The convergence order for the polynomial coefficients that describes the volatility is presented and …

rate returns, can be the product of shifts in variance while other do not. Also, the behavior of the volatility is studied …, showing that the ARFIMA modeling is able to capture long memory, but, depending on the proxy used for the volatility, is not …

Volatility features of the Nordic day ahead power spot market for a 12-year period up till May 2004 are studied. The … daily logarithmic volatility was measured for this period to be about 16%. This level is well above what is observed for … most other well-studied financial markets. Volatility clustering, log-normal distribution, and long-range correlations are …

of RiskMetrics is the artifact of the choice of the risk measure. First, the outstanding performance of volatility … performance in obtaining Value-at-Risk by simply multiplying volatility with a constant factor is mainly due to the choice of the …

.0,b=5. The volatility auto-correlation function (c(τ)) is positive for several iterations. …

This paper tests whether volatility for equity returns for emerging markets possesses long-range dependence … empirical results suggest that there exists long-range dependence in emerging equity returns' volatility and also that it is … class of GARCH processes, which are currently employed to analyze volatility of financial time series, is misspecified. …