English Abstract: This study selected predictors for interest rate volatility and empirically analyzed the dynamic … relationship among selected variables using time series methods. In doing so, it considered realized volatility treasury bonds rate … bonds market volatility was the strongest predictive variable. The lagged volatility of treasury rate and won …

English Abstract: We study the volatility forecasts in Korean stock market based on the GARCHMIDAS(GARCH with the Mixed … work, we analyze the effect of long-term components of macroeconomic variables on predictability of stock market volatility … stock volatility. In addition to in-sample estimation, we conduct out-of-sample forecasts to investigate adequacy of …