This paper examines stock returns volatility in the Pakistani equity market. Using daily stock prices of 36 companies, 8 sector indices, and the general market index, the AutoRegressive Conditional Heteroscedasticity (ARCH) class of models was applied. The analyses suggest that one of the...

We examine the relationship between the risk premium on the S&P 500 index return and its conditional variance. We use the SMEGARCH - Semiparametric-Mean EGARCH - model in which the conditional variance process is EGARCH while the conditional mean is an arbitrary function of the conditional...

By applying SEMIFAR models (Beran, 1999), we examine 'long memory' in the volatility of worldwide stock market indices. Our analysis yields strong evidence of 'long memory' in stock market volatility, either in terms of stochastic long-range dependence or in form of deterministic trends. In some...

Building models for high dimensional portfolios is important in risk management and asset allocation. Here we propose a novel and fast way of estimating models of time-varying covariances that overcome an undiagnosed incidental parameter problem which has troubled existing methods when applied...

This article investigates the comparison of power-law value-at-risk (VaR) evaluation with quantile and non-linear time-varying volatility approaches. A simple Pareto distribution is proposed to account the heavy-tailed property in the empirical distribution of returns. Alternative VaR...

Recently, the Bundesbank claimed that monetary targeting has become considerably more diffcult by the increased volatility of short-term money growth. The present paper investigates the impact of German money growth volatility on income velocity and money demand in view of Friedman's money...

Recently, the Bundesbank claimed that monetary targeting has become considerably more diffcult by the increased volatility of short-term money growth. The present paper investigates the impact of German money growth volatility on income velocity and money demand in view of Friedman's money...

The objective of this paper is to analyze and analytically quantify the effect of additive outliers in the forecasting of volatility from an ARCH Model. For it, we start by distinguishing between Additive Level Outliers (ALO) and Additive Volatility Outliers (AVO), obtaining the analytical...

Historical prices information has not been exhaustively exploited in forecasting the 10-minute-ahead Composite Index of the Malaysian stock market. A simple model incorporating intraday seasonality can have lower forecast errors than a random walk. Improved accuracy is achieved when time-varying...