returns with time-varying volatility and model stock market crashes. Utilizing high frequency data, we estimate the daily … realized volatility from the returns in the first step and use stochastic cusp catastrophe on data normalized by the estimated … volatility in the second step to study possible discontinuities in markets. We support our methodology by simulations where we …

returns with time-varying volatility and to model stock market crashes. In the first step, we utilize high-frequency data to … estimate daily realized volatility from returns. Then, we use stochastic cusp catastrophe on data normalized by the estimated … volatility in the second step to study possible discontinuities in the markets. We support our methodology through simulations in …

Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the choice between these … two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer of many … forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the assumptions of jumping …

Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these … two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer from … these two family forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the …

Tests of excessive volatility along the lines of Shiller (1981) and Leroy and Porter (1981) count among the most …

This paper empirically investigates the volatility pattern of Indian stock market based on time series data which … Conditional Heteroscedastic (GARCH). For capturing the symmetric and asymmetric volatility GARCH-M (1, 1) and EGARCH (1, 1 … TGARCH (1, 1) models show that negative shocks have a significant effect on conditional variance (volatility) …

specific reasons for the existence of this phenomenon. This paper aims to study the holiday effect in returns and volatility of … with higher volatility during pre-holiday periods. Furthermore, it examines whether the holiday effect depends on the … employed to capture the volatility clustering nature of the stock market. Out of the three GARCH models considered, EGARCH (1 …