Information criteria (IC) are widely used tools for model selection in financial time series. In GARCH modelling of volatility, ICs can be used to select the correct number of lags and exogenous regressors when the relation between shocks and volatility is symmetric. When volatility is...

Despite the growing interest in realized stochastic volatility models, their estimation techniques, such as simulated maximum likelihood (SML), are computationally intensive. Based on the realized volatility equation, this study demonstrates that, in a finite sample, the quasi-maximum likelihood...

Volatility spillover informs whether the information in one market impacts the information in another. This paper examines whether oil market volatility spills over to the equity markets of selected SAARC countries. The study uses data from February 2013 to September 2019 to obtain updated...