volatility) associated with financial returns, was the portmanteau statistic for non-causality in variance of Cheng and Ng (1996 … the paper is to derive a simple test for causality in volatility that provides regularity conditions arising from the …

The three most popular univariate conditional volatility models are the generalized autoregressive conditional … models are important in estimating and forecasting volatility, as well as in capturing asymmetry, which is the different … effects on conditional volatility of positive and negative effects of equal magnitude, and purportedly in capturing leverage …

, including market-based estimation of stochastic volatility models, the fine structure of equity-index option dynamics, leverage … and feedback effects in multifactor Wishart stochastic volatility for option pricing, option pricing with non …-Gaussian scaling and infinite-state switching volatility, stock return and cash flow predictability: the role of volatility risk, the …

The paper examines the relative performance of Stochastic Volatility (SV) and Generalised Autoregressive Conditional … Heteroscedasticity (GARCH) (1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we used the realized volatility (RV … standard volatility models if the simple expedient of using lagged squared demeaned daily returns provides a better RV …