and volatility of the Shanghai market were higher. The rates of returns in the two markets were approximately serially … uncorrelated and mutually uncorrelated. Volatility, as measured by the absolute change in the rate of return, has positive serially … correlations in both markets as expected, but the autoregressions are temporarily unstable. Surprisingly the volatility measures of …

where the exponential volatility specification can include log-ARCH terms, asymmetry terms, volatility proxies and other … explanatory variables, the algorithm we propose returns parsimonious mean and volatility specifications. The finite sample …

-step-ahead LINEX forecast for various volatility models using data transformations such as ln(y2t) where yt is the return of the asset …

A significant increase in the level and volatility of many commodity prices over the past decade has led to a debate … level and volatility of commodity prices. The available evidence suggests that while financial investors can affect the … short-run price dynamics for some commodities, the level and volatility of commodity prices appear to be primarily …

This paper sets up a theoretical model linking the growth rate of the economy to the growth rate and volatility of … different government expenditures. On a theoretical basis, it is found that volatility in government spending can be positively … seems to have a negative effect on output growth. It is also very interesting to find that the rises in the volatility in …

We explore the relevance of GARCH models in explaining stock return dynamics and volatility on the Vietnamese stock … market. Although the evidence suggests that volatility is prevalent on this market, the effects of shocks on volatility are …

methods of accommodating structural breaks were considered when forecasting daily exchange rate volatility using GARCH models …, did not improve out-of-sample forecasts of exchange rate volatility, i.e., a simple GARCH(1,1) with expanding window model …

The current work undertakes an overview of the forecasting volatility with high frequency data topic, attempting to … answer to the fundamental latency problem of return volatility. It surveys the most relevant aspects of the volatility topic …, suggesting advantages and disadvantages of each alternative in modeling. It reviews the concept of realized volatility and …

relationship between trading activity, volatility and transaction cost for five most traded commodities in India. Results suggest … transaction cost and volatility. Further, the results of structural model support the results of VAR analysis. Therefore, if the … government imposes CTT, it would lead to higher volatility and lower trading activity affecting market efficiency and liquidity. …