We propose a new model for volatility forecasting which combines the Generalized Dynamic Factor Model (GDFM) and the …-step-ahead volatility predictions of returns. The GDFM+GARCH model outperforms the standard GARCH in most cases. These results are robust … with respect to different volatility proxies. -- Dynamic Factors ; GARCH ; volatility forecasting …

account for asymmetries of return and volatility spillover effects from the US equity market into Canada and Mexico. Unlike … previous research, we model the conditional volatility of the returns in each of the three markets using the asymmetric power … model of Ding, Granger and Engle (1993). The empirical results indicate that volatility spillover effects, but not mean …

The transmission mechanisms of volatility between markets can be characterized within a new Markov Switching bivariate …

Purpose: This paper examines the volatility of stock return in Dhaka stock exchange, BangladeshMethodology: Using … normality and the return series are volatility clustering. It is also obvious for study that GARCH family can be used to predict … volatility of stock return in Dhaka stock exchange (DSE) …

This paper analyzes conditional threshold effects of stock market volatility on crude oil market volatility. We use the … terms of predictive ability. CoTAR often outperforms TAR when predicting a downside volatility measure; it is a useful …

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH … to forecast financial markets volatility. The real data in this study uses British Pound-US Dollar (GBP) daily exchange … examined to the free parameters. Keywords: recurrent support vector regression ; GARCH model ; volatility forecasting …

volatility predictor, the results of an application to tactical asset allocation are presented. -- Multivariate GARCH ; forecast …

This paper provides empirical evidence that combinations of option implied and time series volatility forecasts that … application is for volatility forecasts of the Mexican Peso–US Dollar exchange rate, where realized volatility calculated using … intra-day data is used as a proxy for the (latent) daily volatility. -- Composite Forecasts ; Forecast Evaluation ; GARCH …