This paper investigates the conditional correlations and volatility spillovers between crude oil returns and stock … empirical results from the VARMA-GARCH and VARMA-AGARCH models provide little evidence of volatility spillovers between the …

The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for … the optimal portfolio weights of all multivariate volatility models for Brent suggest holding futures in larger … volatility model give the time-varying hedge ratios, and recommend to short in crude oil futures with a high proportion of one …

In this paper, an attempt has been made to model the volatility of NIFTY index of National Stock Exchange (NSE) and … comprises 3736 data points for the analysis by using Box-Jenkins or ARIMA model. The volatility in the Indian stock market … suggested by Hannan-Rissanen. As per the analysis, ARIMA (1,0,1) model was found to be the best fit to forecast the volatility …

Asymmetric volatility in equity markets has been widely documented in finance, where two competing explanations, as … considered in Bekaert and Wu (2000), are the financial leverage and the volatility feedback hypothesis. We explicitly test for … September 2008. To this aim, we examine asymmetric volatility based on a novel model of market returns, implied market …

We propose a new class of conditional heteroskedasticity in the volatility (CH-V) models which allows for time …-varying volatility of volatility in the volatility of asset returns. This class nests a variety of GARCH-type models and the SHARV model … of Ding (2021b). CH-V models can be seen as a special case of the stochastic volatility of volatility model. We then …