sometimes extreme price fluctuations. Finally, we show how power price volatility and jump frequency are the main value drivers …

the call option price in his option pricing model with stochastic volatility–without appealing to an equilibrium asset …

Modeling volatility during a financial crisis where massive shocks are generated presents an ideal environment for … investigating the dynamics of volatility during periods of extreme fluctuations for comparison with volatility during more tranquil … periods. The objective of this paper is to study volatility of daily stock returns listed on the Egyptian Exchange during the …

volatility of the interbank interest rates, especially after September 2008. Banking institutions from the Euro zone have avoided … the volatility. We also examine the long run equilibrium between the term structures of interest rates appealing at the … money markets from Euro zone, Bulgaria, Czech Republic, Hungary, Poland and Romania and propose some volatility transmission …

sector indices from April 2008 to August 2013. The relationship between volatility and information arrival was modelled using … TGARCH. The findings provide strong evidence for the validity of the MDH for the Saudi market. Volatility persistence …, interacting with volatility in a manner anticipated under the MDH. This can be attributed to unique characteristic of the Saudi …

This paper models and forecasts volatility (conditional variance) on the Ghana Stock Exchange using a random walk (RW … the dynamics of the Ghana stock market volatility over a 10-year period. The competing volatility models were estimated … nonlinearity diagnostic checks. The DSI exhibits the stylized characteristics such as volatility clustering, leptokurtosis and …

, informational efficiency and volatility, synthesised by the index’s dynamic. This paper is oriented on the financial sector of the … the other indexes. Also some important mutations of the BET-FI short term volatility are registered …

This study was conducted to explore the varying volatility of world rice price for the period 1961 to 2008 using … volatility of world rice price. Furthermore the EGARCH model was able to describe the asymmetric volatility in the world price of …