Sentence examples for volatility effect from inspiring English sources

Thus, an asymmetric volatility effect exists for exchange rate returns.

The existence of an asymmetric volatility effect is again established in the APARCH model.

Thus, to incorporate the asymmetric volatility effect and eliminate the problem of nonnegativity restrictions, we estimated an EGARCH model.

The EGARCH model indicates that the oil price has a significant asymmetric volatility effect in the pre-crisis period.

Since EGARCH disregarded the possible existence of an asymmetric volatility effect, we tried another parameterization namely, TGARCH.

For economic policy makers, they may be able to better understand that how the stock market and foreign exchange market volatility effect each other and the economic consequences that may arise by integration of these two markets.

Finally, the use of the DCC FIAPARCH model that explicitly accounts for long memory and asymmetric volatility effects enables the investors to effectively hedge the risk of their stock portfolios with lower costs, compared to the standard DCC GARCH model.

He found significant unidirectional volatility effects flowing from equity returns to exchange rate returns for all economies except Germany.

Fuel volatility effects are considered, including characteristics derived from molecular weight, distillation, vapor pressure, and heat of vaporization.

Finally, cultural distance effects are identified, indicating that peripheral states are experiencing more substantial volatility effects to European Banking Authority decisions.

These effects are induced by the stochastic volatility effects in the Heston model and the J-process effects in the J-model.