We extend our studies of a quantum field model defined on a lattice having the dilation group as a local gauge symmetry. The model is relevant in the cross-disciplinary area of econophysics. A corresponding proposal by Ilinski aimed at gauge modeling in nonequilibrium pricing is realized as a...

We derive and empirically test a theoretical link between exchange rate volatility and global equity correlations. Starting with option-implied currency volatilities, we use variants of existing currency models, global capital flows, international parity, the Taylor rule, and some simplifying...

There is a well documented asymmetric return - volatility effect of equity returns, that is, negative shocks increase volatility by more than positive shocks. This paper analyzes the return - volatility relationship of commodity price changes and finds an inverted asymmetric effect with a...

We have examined the predictive power of GARCH model to forecast return volatility for Nifty 50 index. Realized volatility, which is the sum of intraday squared returns, is used as the proxy for the true volatility. Three models of the GARCH family have been used to forecast return volatility...

This study was conducted to find an appropriate statistical model to forecast the volatilities of PSEi using the model Generalized Autoregressive Conditional Heteroskedasticity (GARCH). Using the R software, the log returns of PSEi is modeled using various ARIMA models and with the presence of...

Simple, multi-step estimators are developed for the popular GARCH(1,1) model, where these estimators are either available entirely in closed form or dependent upon a preliminary estimate from, for example, quasi-maximum likelihood. Identification sources to asymmetry in the model's innovations,...

The dollar's dominance as the world's reserve currency was inaugurated at the 1944 Bretton Woods conference where the agreement was signed by the 44 wartime allies, but the dollar's hegemony was solidified in 1971 when US President Nixon cut the dollar's link to gold. True, the fixed exchange...

We investigate the importance of time varying trend inflation in explaining the inflation process in the two emerging economies, China and India. Our analysis is based on an unobserved components stochastic volatility model of inflation. We decompose inflation into permanent stochastic trend and...

In this paper, we derive an approximate unconditional distribution for normal GARCH(1, 1) model by application of perturbation theory. We compute the characteristic function and distribution up to the fourth order approximation. Additionally, we derive an integral equation for the characteristic...