is a model that will lead to better volatility forecasts. Secondly a long run relation between these markets was …

The volatility clustering often seen in financial data has increased the interest of researchers in applying good … models to measure and forecast stock returns. This paper aims to model the volatility for daily and weekly returns of the … find support that there are significant asymmetric shocks to volatility in the daily stock returns, but not in the weekly …

We propose a model to estimate the price volatility in of the Mexican Export Crude Oil Blend. The analysis relies on … and February 14th, 2007. The chosen model is of the GARCH (1,1) type. Asymmetric volatility effects are not detected …. Furthermore, the results are compared with an estimate of the historic volatility based on previous returns. Such comparison …

This paper investigates the volatility and correlations of stock returns of some crisis-hit countries such as, US … following two issues: Firstly, to measure the extent of volatility of the stock indices under study and also the correlation of …

, Japan, China, and Malaysia. The paper analyzes the cross volatility, comovement, and estimates the Granger causality between …. The volatility and comovements between stock indices are higher and unstable during the financial crises. Furthermore, the …

intraday volatility measurements and implied ones obtained from options market (VIX). For that we propose the use of intraday … information to estimate volatility for the cases where the stock markets do not have an associated option market. …

macroeconomic analysis, market microstructure analysis and order flow analysis, to forecast the volatility in the foreign currencies …

macroeconomic analysis, market microstructure analysis and order flow analysis, to forecast the volatility in the foreign currencies …