Volatility forecasts aim to measure future risk and they are key inputs for financial analysis. In this study, we forecast the realized variance as an observable of volatility several major international stock market indices accounted different predictive information present in jump, continuous, option-implied components. We allowed spillovers markets by using a multivariate modeling approach. ...

Health volatility due to the Covid-19 pandemic presented a new-fangled trial banking industry with spillover effect of monetary policy volatility, which extremely affected performance in Nigeria. It has become matter concern assess and The paper used annual time series data that spanned period 2008 2020. employed Autoregressive Distributed Lag (ARDL) Exponential Generalized Conditional Heterosk...

Abstract This paper investigates the linkage of returns and volatilities between United States Chinese stock markets from January 2010 to March 2020. We use dynamic conditional correlation (DCC) asymmetric Baba–Engle–Kraft–Kroner (BEKK) GARCH models calculate time-varying correlations these two examine return volatility spillover effects markets. The empirical results show that there are only u...

This paper aims to examine the volatility spillover, diversification benefits, and hedge ratios between U.S. stock markets different financial variables commodities during pre-COVID-19 COVID-19 crisis, using daily data multivariate GARCH models. Our results indicate that risk spillover has reached highest level period, compared pre-COVID which means pandemic enforced remains assets. We confirm ...