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Applying our approach to S&P500 index daily returns and option data, we show that one- and two- factor SVS models provide a better fit for both the historical and the
Our simulations of a fractionally integrated stochastic volatility model, calibrated to the high-frequency returns, demonstrate that downward bias in the semiparametric estimates of
This paper therefore provides empirical evidence of volatility modelling and prediction for sharia equity indices by comparing evaluations of the volatility-predicting
This study employs a class of nonlinear asymmetric stochastic volatility model by applying the Box–Cox transformation to the volatility equation and calls it
The Granger causality tests, GARCH and EGARCH models were utilized to examine the relationship between the daily stock returns volatility and trading volume over the period of January
The chapter evaluates the volatility linkages and spillovers across bond markets in the South-East Asian countries of Indonesia, Philippines, Singapore and Thailand.. Daily returns of
Empirical studies have established that pursue objectives that are in line with the environmental criteria realized stronger financial returns than the overall market and weaker return
Then, the author performs the OLS regression between IHSG and foreign indices returns as follows: 2 where IHSG refers to the daily returns of Jakarta Composite Index, N225 denotes
