This paper evaluates the impact of volatility shifts on different time varying period-by-period indexes which are used … that when we take into account the volatility shifts the global synchronization evolution and the effect of the main …

This study examines the impact of volatility shifts on volatility persistence for three major sector indices of … volatility shifts which are determined by using iterated cumulative sums of squares (ICSS) and modified ICSS algorithms such as … Kappa-1 (ê-1) and Kappa-2 (ê-2). The results indicate that the inclusion of volatility shifts in the model substantially …

This study examines the impact of volatility shifts on volatility persistence for three major sector indices of … volatility shifts which are determined by using iterated cumulative sums of squares (ICSS) and modified ICSS algorithms such as … Kappa-1 (κ-1) and Kappa-2 (κ-2). The results indicate that the inclusion of volatility shifts in the model substantially …

impact of unexpected volatility shifts on this small emerging Asian market, in terms of its efficiency and returns, during … the rejection of efficient market hypothesis for the market when sudden volatility shifts are considered. The results also …

volatility shifts, and incorporate that information into PGARCH models fitted to the returns series. At the next stage, we …-parametric procedure, which accounts for fat tails. Our estimation results show that neglecting GARCH effects and volatility shifts may …