Volatility clustering
Stock Market Volatility Clustering and Asymmetry in Africa: A Post Global Financial Crisis Evidence
... market volatility for various African ...between volatility and expected risk ...in volatility will increase the expected risk premium and thereby affect cost of ...of volatility is therefore ...
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Belief merging and revision under social influence: An explanation for the volatility clustering puzzle
... research. Volatility clustering has been shown to be present in a wide variety of financial assets including stock market indices, as well as exchange ...work, volatility clustering is usually ...
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Analysis of Corporate Bond Yield Spread Based on the Volatility Clustering Effect
... and clustering in the jump intensity, but did not accommodate for volatility feedback in the jump ...it volatility feedback in the jump component, autoregressive jump intensity, or a combination of ...
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An Econometric Approach to Incorporating Non Normality in VaR Measurement
... Presence of Heteroscedasticity makes it difficult to gauge the true standard deviation of the forecast errors, usually resulting in confidence intervals that are too wide or too narrow. In particular, if the variance of ...
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REVISITING RANDOM WALK BEHAVIOR OF STOCK MARKET: EVIDENCE FROM INDIAN MARKET
... The present study analyses the random walk behaviour of Indian stock market. The study has taken S&P CNX Nifty Fifty return for the purpose of analysis. The period of the study ranges from April, 2006 to March, 2015. ...
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Scaling and multiscaling in financial markets
... Iori [20] proposed a model where large fluctuations in returns arise purely from communication and imitation among traders. The key element in the model is the introduction of a trade friction (representing transactions ...
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Modelling Stock Returns Volatility In Nigeria Using GARCH Models
... asymmetric volatility, suggesting that positive shocks increase volatility more than negative shocks of an equal ...indicating volatility persistence in the two ...that volatility ...
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Which Model Performs Better While Forecasting Stock Market Volatility? Answer for Dhaka Stock Exchange (DSE)
... the volatility clustering can be of important as it would help to analyze the inherent characte- ristics of the market in a more applied ...of volatility clus- tering in stock return series has also ...
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Modelling and Estimation of Volatility Using ARCH/GARCH Models in Jordan’s Stock Market
... of volatility clustering it is when large changes in stock prices are followed by large changes in price of both signs, and vice versa, ...in volatility, i.e. volatility is expected to rise in ...
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Modeling Exchange Rate Volatility: Application of the GARCH and EGARCH Models
... as volatility clustering or volatility pooling (Brooks ...[10]). Volatility clustering describes the tendency of large changes in asset prices (of either sign) to follow large changes ...
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Forecasting volatility: Evidence from the Macedonian stock exchange
... forecast volatility under various error ...as volatility clustering, high kurtosis, and low starting and slow-decaying autocorrelation function of squared returns; (ii) the asymmetric models show a ...
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Volatility Modelling and Parametric Value-At-Risk Forecast Accuracy: Evidence from Metal Products
... presents volatility clustering, volatility asymmetry, and volatility persistence, we have assessed five GARCH-type models including three fractionary integrated models assuming three ...
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The Effect of Crude Oil Price on the Methanol price
... of volatility clustering and fat-tailed (non- normality) in the time series and takes account of the factors that highly affect the price of properties including sudden shocks, structural changes, ...
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AR CH�mo dels ha veb ecome popular for mo delling �nancial time series� They seem� at �rst�
... In the past dozen years ARCH-models have become popular for modelling nancial time series since they are able to account for several empirical features like volatility clustering and leptokurtosis (fat ...
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MANA GING THE VOLA TILITY RISK OF POR TF OLIOS OF DERIV ATIVE SECURITIES� THE LA GRANGIAN UNCER TAINV OLA TILITY MODEL
... Option prices provide concrete information about the market's volatility expectations. Therefore, options are crucial for hedging in an uncertain volatility environment. Typi- cally, hedging with options is ...
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COMMON VOLATILITY IN THE FOREIGN EXCHANGE MARKET Dr. Carol Alexander, School of Social Sciences, University of Sussex, Falmer, Brighton, Sussex BN1 9QN.
... Before applying these tests to currency return data, it is necessary to sound a preliminary note of caution in their interpretation: ARCH tests can yield a low value for series where big events are not repeated, and so ...
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Option Valuation under Stochastic Volatility
... While the idea of a transform-based approach is not new, previous applications have tended to be model-specific. Not only are our results more general, but they encompass the situation when option prices, relative to a ...
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E�AR CH Mo del for theT erm Stru ct ure of
... of volatility risk in its many forms has become an important topic for researchers and ...market volatility and the need to manage this risk accurately and at low ...stochastic volatility. Hull and ...
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�BS� form ula is wid ely us edby trad ers beca us eitse asy to
... tic volatility model by a Monte-Carlo study on the implied volatility curve (im- plied volatility as a function of the option strikes) for near-the-money ...the volatility of volatility ...
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CALIBRA TING VOLA TILITY SURF ACES VIA RELA TIVE�ENTR OPY MINIMIZA TION
... a volatility surface in the form of a perturbation series, where each term in the series is computed by solving a partial dierential equation containing source terms de- termined by the previous ...approximate ...
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