ARCH and stochastic volatility models. We consider two major dollar exchange rates, and we show that returns standardized …

forecasting horizons. Therefore, a long memory volatility model compared to a short memory GARCH model does not appear to improve …

This article identifies the best models for forecasting the volatility of daily exchange returns of developing …

This study investigates return and asymmetric volatility spillovers and dynamic correlations between the main and small … pandemic. Return and volatility spillovers are modelled using a VAR-asymmetric BEKK-GARCH (1,1) model, while a VAR … spillovers between the main and SME stock markets are limited to Saudi Arabia, shock and volatility spillovers have different …

We present a new model to decompose total daily return volatility into a filtered (high-frequency based) open …-to-close volatility and a time-varying scaling factor. We use score-driven dynamics based on fat-tailed distributions to limit the impact …-to-close volatility changes substantially through time, especially for financial stocks. …

series from 21 international market indices, the findings support the predictions of the risk premium, volatility feedback … and statistical balance. However, little support is found for the short-memory-volatility-component risk premium. It is …

forecasts of the conditional volatility and correlations. The concluding remarks are consistent, and in agreement with the new …

negative, but, during the Covid-19 pandemic, the carry trade is the main net transmitter of volatility to all markets. Our …

findings support the arguments of risk return tradeoff, volatility feedback and statistical balance. It is reasoned that the …