..., COVID and post-COVID periods, offering fresh insights into price discovery and risk management during systemic shocks. The analysis applies the Dynamic Conditional Correlation-GARCH (DCC-GARCH) model to examine volatility spillovers and assess dynamic connectedness between NIFTY 50 spot prices...

... exchange rate, the existence and spots of the psychological barriers are estimated from roughly 10 years data for each currency rate, and GARCH (1, 1) model was applied to observe the momentum effect about the mean and variance of the conditional returns, and the implied volatility of the FX-options...

...Chan-Soo Jeon The aim of this paper is to compare the performance of VaR (value-at-risk) using Realized Volatility Models (which use intraday returns) with VaR the performance of GARCH-type Models (which use daily returns) with three different distribution innovations (normal distribution, t...

... to the original publication and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode CDS Premium Jump Risk Jump-Diffusion Model Heteroscedasticity GARCH ...

...Jong In Yoon This study analyzes the maturity structure of the volatility in the KOSPI200 index and futures returns. Using bivariate GARCH model, we obtain the empirical evidences that the maturity structure of the volatility is U-shaped unlike the well-known Samuelson effect. Remarkably. U-shaped...