, and long‐term volatility forecasts are mean‐reverting. When applied to the S&P 500, the new component model significantly … illustrate the MF2‐GARCH's scalability by applying the new model to more than 2100 individual stocks in the Volatility Lab at NYU …

Purpose. We address the problem of forecasting USD/CHF volatility at the beginning of the COVID-19 crisis. We chose … employed several volatility models, including APARCH, EGARCH, GJR-GARCH, TGARCH, and GARCH-MIDAS, on high-frequency USD …/CHF data. Particular emphasis was placed on asymmetric models to capture volatility asymmetry. Findings. The highest volatility …

(2014-2022), factors driving carbon price volatility are systematically identified, and the heterogeneous influence of new … energy markets on carbon market risks is rigorously analysed. The results indicate that new energy market volatility …