Currency market is the most volatile & liquid in all financial markets of the world. The present study was conducted to know a good theoretical approach to Indian Currency Market & Rupee position in the global market. It analyzed the volatility of rupee and the normality in the daily changes in...

Stock market volatility has its existence from the long time but its complete eradication is not possible, the only thing which can be done is just to know its behavior and pattern that how it behaves. The present study is aimed to understand the nature and different patterns of volatility in...

Regime switching dynamic correlation (RSDC) model allows the correlations to be constant with the regimes themselves however, it differs across regimes. RSDC model has retained many good properties from CCC multivariate GARCH and DCC multivariate GARCH. For example, RSDC does not suffer from the...

Investors pay a substantial premium to hedge against fluctuations in volatility—the variance risk premium (VRP). The asset-pricing literature has presented numerous models with jumps in economic fundamentals to reproduce the properties and the time variation of the VRP. This paper shows that...

Bitcoin (BTC), as the dominant cryptocurrency, has attracted tremendous attention lately due to its excessive volatility. This paper proposes the time-varying transition probability Markov-switching GARCH (TV-MSGARCH) models incorporated BTC logarithmic daily trading volume or Google daily...

In this paper, we construct efficient forecast intervals for autoregressive conditional heteroscedastic (ARCH) models using the bootstrap. Forecast intervals for returns and volatility are constructed using the linear estimator (LE) for ARCH model. An advantage of LE over the widely used quasi...

We analyze the impact of the estimation frequency - updating parameter estimates on a daily, weekly, monthly or quarterly basis - for commonly used GARCH models in a large-scale study, using more than twelve years (2000-2012) of daily returns for constituents of the S&P 500 index. We assess the...

Foreign exchange (FX) derivatives markets in the Korean won are comparatively thin and vulnerable to impaired functioning. During the crisis, Korea faced dislocations in its FX swap and cross-currency swap markets, so severe that covered interest parity (CIP) between the Korean won and the US...

This study combines three distinct empirical models of stock returns into a single model: the autoregressive model, which suggests that stock returns are determined by its own past values, the (generalised) autoregressive conditional heteroscedasticity model, which suggests that stock returns...

Bitcoin is a virtual/cryptocurrency, serving as a decentralized medium of digital exchange and not tied to any financial institution. It gained in popularity in the aftermath of the global financial crisis with the failure of many prominent banks and financial institutions, as it provided...