This paper aims to select the best model or set of models for modelling volatility of the four most popular …

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

This paper compares volatility forecasts for the RTS Index (the main index for the Russian stock market) generated by … alternative models, specifically option-implied volatility forecasts based on the Black-Scholes model, ARCH/GARCH-type model … information content). Various forecasting performance tests are carried out which suggest that both implied volatility and …

framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting … food crisis and 2008 financial crisis leading to the most significant shifts in the (volatility) spillovers between the …

This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of …

03/1/2000-12/5/2013. The estimated VAR-GARCH(1,1) model allows for both mean and volatility spillovers and for the …

The aim of this paper is to provide some new empirical evidence on the determinants of volatility of real exchange … grouped into three regions (Latin America, Asia and MENA). Our findings suggest that different types of shocks (external, real … and monetary) can account for volatility of real exchange rates in emerging economies, with international financial …

emerging Asia there is more regional than global integration, and that the former has become even stronger in the post-2008 …