Fitting Appropriate Volatility Models to the Returns
"Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously"
... For that reason Discussion Papers may not be reproduced or distributed without the written consent of the author. CIRJE-F-515[r] ...
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Modelling Stock Returns Volatility In Nigeria Using GARCH Models
... stock returns exhibit phenomenon of volatility clustering, leptokurtosis and ...Asymmetry. Volatility clustering occurs when large stock price changes are followed by large price changes, of both ...
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Further empirical evidence on stochastic volatility models with jumps in returns
... diffusion models to approximate the stochastic process for returns on financial ...so-called volatility smiles and smirks computed using the volatility implied by the Black-Scholes model ...
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Volatility Estimation in the Dhaka Stock Exchange (DSE) returns by Garch Models
... the volatility of stock return for developed capital ...sophisticated models of conditional volatility and find that volatility is difficult to model in emerging ...return volatility ...
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Estimating persistence in the volatility of asset returns with signal plus noise models
... the volatility process will die out in the long run, though the adjustment process will be slow, according to a hyperbolic rate of ...be appropriate to eliminate the effects of a shock more quickly and ...
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Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility
... Realized Volatility/Vast Data (London, June 2009) and Non- and Semiparametric Volatility and Correlation Models (Paderborn, July 2014) for useful comments, suggestions and ...
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DSFM fitting of Implied Volatility Surfaces
... Implied volatility is one of the key issues in modern quan- titative finance, since plain vanilla option prices contain vi- tal information for pricing and hedging of exotic and illiq- uid ...Factor Models ...
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Modelling and forecasting the volatility of JSE returns: a comparison of competing univariate GARCH models
... African Volatility Index on forecasting future volatility of FTSE/JSE Top 40 ...GARCH models regarding volatility (conditional variance) of stock returns on the JSE and compare these ...
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Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using GARCH Models
... The exponential nature of the EGARCH ensures that the conditional variance is always positive even if the parameter values are negative, thus there is no need for parameter restrictions to impose nonnegativity. γ ...
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Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using GARCH Models
... TGARCH(1,1), and EGARCH(1,1) models are shown in Table 3. The conditional mean ( µ ) and the AR1 ( φ ) parameters are significant in all the estimated models except the EGARCH model. The ARCH ( α ) and ...
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Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using Garch Models
... non-symmetric returns. DSI’s returns are leptokurtic or fat-tailed, given its large kurtosis statistics in Table ...and returns series of the DSI for the period under ...the returns ...
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Global engagement and returns volatility
... estimating volatility models based on firm-level panel data, because stock returns have been show to display substantial cross-sectional and time-dependence, both in their first and second moments ...
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Stock Returns and the Volatility of Liquidity
... Hence, existing research on institutional investors suggests that they do adjust their trades to the state of liquidity in order to minimize transaction costs. 2 Vector Autoregression Results We now directly test for ...
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Global Engagement and Returns Volatility
... estimating volatility models based on firm-level panel data, because stock returns have been show to display substantial cross-sectional and time-dependence, both in their first and second moments ...
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Evaluating the volatility forecasting performance of best fitting GARCH models in emerging asian stock markets
... the volatility of returns is essential for many areas of finance, it is well known that financial return series exhibit many non-normal characteristics that cannot be captured by the standard GARCH model ...
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Evaluating the volatility forecasting performance of best fitting GARCH models in emerging Asian stock markets
... the volatility of returns is essential for many areas of finance, it is well known that financial return series exhibit many non-normal characteristics that cannot be captured by the standard GARCH model ...
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Volatility Analysis of Precious Metals Returns and Oil Returns
... in volatility is quite ...in volatility for the different indices; this is a problem when introducing all the break points in the variance ...consider appropriate to eliminate an important number of ...
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Application of Garch Models to Estimate and Predict Financial Volatility of Daily Stock Returns in Nigeria
... of appropriate volatility model for capturing fluctuations in stock returns is of significant policy relevance to investors and policy makers ...reliable volatility model of asset ...
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GARCH-Type Models on the Volatility of Indonesian Cocoa’s Spot Price Returns
... high volatility level of cocoa’s spot price returns, financial instruments such as forwards and futures markets will be ...GARCH-type models. The application of GARCH-type models in ...
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The Predictability of GARCH-Type Models on the Returns Volatility of Primary Indonesian Exported Agricultural Commodities
... prices volatility of each commodity was modeled by different type of ARCH/GARCH ...ARCH/GARCH models mostly found in storable ...price volatility of some Indonesian food commodities using ARCH/ GARCH ...
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