The purpose of the empirical research study is to analyze the volatility of OMX Tallinn Index in Estonia from 2002 to … Model for each phases of OMX Tallinn Index in Estonia from 2002 to 2022 that could grasp not only the volatility but also … asymmetric volatility caused by various important events for each particular period. The total sample size is 6,032 i.e. 3 phases …

-GARCH model for volatility and DCC model for correlation to allow for inclusion of indexes that measure financial conditions. In … find that worse financial conditions are associated with both higher volatility and higher correlations between stock … returns, especially during crises. Moreover, including the FCI in volatility and correlation modeling improves Value …

Accords in that the jump component of the volatility process does not need to be treated separately for the purpose of stress …

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …