For nearly every major stock market there exist equity and implied volatility indices. These play important roles … the best of our knowledge, no one has yet considered a global setup including both equity and implied volatility indices …

studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …

This paper aims to select the best model or set of models for modelling volatility of the four most popular …

the behaviour of returns and their volatility during both the calm as well as various crises/turmoil periods. Besides the …-GJR-GARCH) were estimated in order to examine the volatility switches of the Central European transition stock markets. The t …-distribution of error terms was used to capture the dynamics of analysed returns more precisely. The results proved high volatility …