If a probability distribution is sufficiently close to a normal distribution, its density can be approximated by the truncated Gram-Charlier series where skewness and kurtosis directly appear as parameters. However, the existing literature is restricted to truncating the series expansion until...

When designing multi-asset stochastic volatility (SV) or local-stochastic volatility (LSV) models, one of the main issues involves the construction of the global correlation matrix. Typically correlation matrices for each assets' degrees of freedom are set and the challenge is to build a global...

The present research article examined the asymmetric effect and volatility persistence between equity spot and futures markets in India. Daily closing equity spot and futures prices of 14 stocks (ACC Limited., Ambuja Cement Ltd., Asian Paint Ltd., Bank of Baroda, Larson and Turbo Ltd. (L&T),...

This paper proposes novel approaches to the modeling of attenuation bias effects in volatility forecasting. Our strategy relies on suitable generalizations of the Realized GARCH model by Hansen et al. (2012) where the impact of lagged realized measures on the current conditional variance is...

This study an attempt to examine the long-run volatility and causality effects of Sri Lankan (LKR) currency and nine currency of emerging countries in Asia against USD over 17 years i.e., from 01st January, 2002 to 31st December, 2018 by using the Descriptive Statistics (Summary), GARCH (1,1)...

The asymmetric stochastic volatility (ASV) models extend the stochastic volatility model (SV) by modeling the correlation between the asset return and its volatility. We prove by simulation studies that fitting the ASV models may infer erroneous estimations of the correlation coefficients. Even...

This paper employs a bivariate BEKK-GARCH(1,1) model to examine shock and volatility spillovers between crude oil and stock markets by taking into account the impact of the 2008 global financial crisis. Daily data from crude oil market and the Thai stock market during February 6, 2004 and...

Energy price volatilities and correlations have been modeled extensively using short-memory multivariate GARCH models. This paper investigates the potential benefits from using multivariate fractionally integrated GARCH models from a forecasting and a risk management perspective. Several...

In this paper, we study the methods of combining different volatility forecasts using various GARCH models. Given that the major risk exposure for many investors in energy is the volatility of the electricity price, our motivation stems from the fact that there is no single best model for...

This paper analyzes own and cross shock-volatility spillover effect among the very well known three Asian Stock Exchange Markets namely India, Singapore and South Korea during boom period, global recession period and post recession period. We use a multivariate BEKK-GARCH model to identify the...