growth and growth volatility. Our results suggest that financial development, trade openness and political instability are …

volatility of the past nine weeks with that of the following nine weeks, estimation error ranges from four to over ten percentage …

main stock market indices of the G5: interactions between return and volatility, international transmission mechanisms and … impact of trading volumes. The non-significance of expected volatility in return equation can be explained by the influence … of trading volumes on returns. On the other hand, asymmetric effects (from non-expected return to volatility) are very …

This is an empirically study to investigate the exchange rate volatility and it impacts on bilateral exports growth …, ASEAN, and Asia-Pacific regions. To establish the empirical relationship between exchange rate volatility and impact on … investigation, the result shows that the exchange rate volatility has a negative and major effect both in short run and long run …

framework. However, little is known about the ranking of multivariate volatility models in terms of their forecasting ability …. The ranking of multivariate volatility models is inherently problematic because it requires the use of a proxy for the … unobservable volatility matrix and this substitution may severely affect the ranking. We address this issue by investigating the …

There is quite an extensive literature documenting the behaviour of stock returns volatility in both developed and … emerging stock markets, but such studies are scanty for the Nigerian Stock Exchange (NSE). Modelling volatility is an important … of stock return volatility of the Nigerian Stock Exchange returns using GARCH (1,1) and the GJR-GARCH(1,1) models …

This article focuses on the volatility of crude oil futures prices on the New York Mercantile Exchange. It aims at … examining whether this market creates excess volatility, which would not be observed in the absence of such a market. In order … process. We show that a significant part of the volatility recorded during exchange trading hours is caused by mispricing …

This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign … exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet … parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well …

framework. However, little is known about the ranking of multivariate volatility models in terms of their forecasting ability …. The ranking of multivariate volatility models is inherently problematic because it requires the use of a proxy for the … unobservable volatility matrix and this substitution may severely affect the ranking. We address this issue by investigating the …