We consider a simple uncertain-volatility model for the asset price underlying a given option market. The asset price volatility is assumed to follow a discrete (actually finite) Markov chain σ, which changes value on some fixed future times. The volatility chain is independent of the Brownian motion governing the future evolution of the asset. Modeling the volatility evolution in this way is e...

From 2002 to early 2007, the decline in volatility in the global economy and fi nancial markets was refl ected in lower measures of market risk, which encouraged fi rms to increase their risk-taking, thereby enhancing market liquidity and resulting in even lower levels of volatility (Figure 2.1). Conversely, shocks in an environment of heightened risk-taking could result in a rapid deterioratio...

High food price instability is one of the major risks facing agricultural households from developing countries. Resulting from agronomic factors as well as the historically low levels of world grain stocks and climate change, increased food price volatility has attracted renewed interest among policy experts in identifying appropriate policy instruments to counter its effects. This paper applie...

This paper discuss the associations and model construction between Taiwan and Korea’s exchange rate markets during the period from January 2000 to July 2008. The empirical results show that the mutual effects of the Taiwan and the Korea’s exchange rate markets may construct in bivariate IGARCH (1, 1) model. The empirical result also shows that there exists the positive relations between Taiwan ...

Is the increased volatility on the Swedish stock market due to increased sensitivity to foreign markets or to inherently Swedish factors? The findings in this paper is that the foreign influence on the Swedish stock market shows a clear positive trend while purely domestic factors have not become more volatile. World influence on domestic stock markets is also substantially larger during intern...

I analyze how an exogenous cost of entry in a risky asset market a®ects two endogenous variables: the degree of market participation and the price volatility. I show that di®erent entry costs generate different participation equilibria and multiplicity of equilibria arises for some range of entry costs, but the new market entrants are always more risk-averse than the rest of the participants. E...

In this article, we investigated the volatility of Chinese open-end funds market by using Zhongxin open-end funds index. According to the characteristics of different GARCH models, we empirically studied GARCH, EGARCH and GARCH_M model. The result indicated that GARCH (1, 1) model and GARCH_M (1, 1) model could better fit the characteristics of the index return rate. At the same time, the resul...