examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis … were used to examine the degree or severity of volatility based on the first difference, standard deviation and coefficient … of deviation estimated volatility series for the nominal and real exchange rate of naira vis-a-vis the U.S dollar. The …

, different channels were used to identify the source of inflation persistence and volatility. This was estimated using Bayesian … Nigeria can be modelled by assuming constant volatility as the evidence shows that stochastic volatility (SV) is not a source … an evidence of instability not volatility in the variance of the trend inflation. Secondly, we found that the inclusion …

/dollar exchange rate and the volatility in the yen/dollar markets. Using newly released data on Japanese foreign exchange intervention … effect on the same day, but at the cost of higher exchange rate volatility. Testing for the robustness of this finding we … unsuccessful and coincided with increased exchange rate volatility. Since 1999 official Japanese currency purchases seem to have …

/dollar exchange rate and the volatility in the yen/dollar markets. Using newly released data on Japanese foreign exchange intervention … effect on the same day, but at the cost of higher exchange rate volatility. Testing for the robustness of this finding we … unsuccessful and coincided with increased exchange rate volatility. Since 1999 official Japanese currency purchases seem to have …

generally, to observation-driven models, which include well-known models for conditional volatility. To overcome the problem of … Monte Carlo study and an empirical study concerning the measurement of conditional volatility from financial returns data. …

volatility of a time series. We derive the main properties of the model and apply it to all agricultural commodities in the … volatility process and, according to homoscedasticity tests, outperforms the ARCH(1) and GARCH(1,1) models, some of the most … popular approaches used in the literature to analyze price volatility. Keywords: Agricultural prices, volatility, GARCH models. …

We provide a formulation of stochastic volatility (SV) based on Gaussian process regression (GPR). Forecasting … volatility out-of-sample, both simulation and empirical analyses show that our GPR-based stochastic volatility (GPSV) model …