volatility estimation in terms of volatility jumps being examined and modeled for the international equity market, using such a … properties of jumps. These volatility-estimation and jump properties are also evident in jump modeling based on statistical and …Using high-frequency intraday data, we construct, test and model seven new realized volatility estimators for six …

using the bootstrap. Forecast intervals for returns and volatility are constructed using the linear estimator (LE) for ARCH …

-frequency intraday returns. It disentangles covariance estimation into variance and correlation components. This allows to estimate … covariance estimation and the jump robustness of the estimator are illustrated in a simulation study. In an application to the …

market uncertainty and volatility of the investment instruments. Thus, the prediction of the uncertainty and volatilities of … to identify the best fit model that can predict the volatility of return of Bitcoin, which is in high demand as an … the residuals of the average equation model selected have ARCH effect. Volatility of Bitcoin return series after detection …

factor. Second, we specify the overall volatility as a generalized autoregressive conditional heteroscedasticity (GARCH …

incorporation of structural breaks while estimating volatility in the Nigerian stock market. This will help to avoid over-estimation …This study examines the volatility persistence and asymmetry with exogenous breaks in Nigerian stock market. The study … of volatility shocks and restore investor's confidence in the stock market. …