volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the …While the risk return trade-off theory suggests a positive relationship between the expected return and the conditional … expected return. We examine the effects of the risk return trade-off and the volatility feedback in a model where both the …

volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the …While the risk return trade-off theory suggests a positive relationship between the expected return and the conditional … expected return. We examine the effects of the risk return trade-off and the volatility feedback in a model where both the …

Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …

Modelling the volatility (or kurtosis) of the implied volatility is an important aspect of financial markets when … GARCH systems to model the volatility of the FTSE 100 Implied Volatility Index (IV). We use GARCH, EGARCH, GJR-GARCH and … other asymmetric models unless there is exceptionally high volatility such as the crisis of 2008 in which case EGARCH …