Recent advances in the measurement of volatility have utilized high frequency intraday data to produce what are … generally known as realised volatility estimates. It has been shown that forecasts generated from such estimates are of positive … the loss function under which models of realised volatility are estimated. It is found that employing a utility based …

the extreme values, is a good alternative to the Realized Volatility that requires a large amount of intra-daily data … intra-daily models, such as the Realized Volatility and inter-daily models, such as the ARCH class. The forecasting …

In this paper we employ the news aggregator Google News to demonstrate a strong link between the volatility in the …

This study examines the impact of volatility of FDI, rather than its level on the economic growth of ASEAN-5 countries …. Using bounds testing approach, we show that FDI volatility retards long-run economic growth in Indonesia, Malaysia, the … of FDI volatility. These findings, which are robust to different measures of FDI volatility, are of concern in dealing …

This paper examines behaviors of returns and volatility of ASEAN emerging stock markets (Indonesia, Malaysia …, under the exogenous effects from international gold market such as the 1 day lagged returns and the 1 day lagged volatility … of gold, the GARCH(1,1)-X model captures better stock market volatility behavior than GJR(1,1)-X, except Indonesia …

volatility and domestic volatility. It is found that, for most sectors, the main association period is during the same concurrent … the magnitude of volatility on the JSE and most of its sub-indices reacts far more to negative shocks than it does to …

exchange market volatility. Due to increases in market uncertainty, crisis periods exhibit abnormally high levels of volatility …. By studying short-term changes in volatility dynamics, it is possible to identify the start- and end-dates of crisis … the volatility of rand returns between January 1994 and March 2009. Dummy variables controlling for the detected shifts in …

production and relative price volatilities cause more fluctuations in the agents' portfolio decisions than the volatility of …

monetary announcements. Volatility of the returns is accounted for at the beginning and end of the trading session and it …