market uncertainty and volatility of the investment instruments. Thus, the prediction of the uncertainty and volatilities of … to identify the best fit model that can predict the volatility of return of Bitcoin, which is in high demand as an … the residuals of the average equation model selected have ARCH effect. Volatility of Bitcoin return series after detection …

market capitalization, the increasing volatility of the virtual currencies raise various concerns. One of the major concerns … cryptocurrencies returns. This can be attributed to the presence of asymmetric volatility clusters. This study has significant …

-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, and …-off of March 2020, and that both ARCH and GARCH effects play an important role in determining conditional volatility among … running in the other direction. Our results suggest that USDT does not currently play an important role in volatility …

), its volatility as well as the asymmetric effects, for the period of 12th May 2009 to 12th June, 2015. The empirical …-of-theweek effect is influenced by the choice of the volatility model applied. Similarly, the highest or lowest volatility market day …

findings support the arguments of risk return tradeoff, volatility feedback and statistical balance. It is reasoned that the …

. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … volatility spillover effect. Empirical results show that the NFNE futures exhibit superior effectiveness as an instrument for … (Morgan Stanley Capital International) world index futures further improves the hedging effectiveness compared with the …

series from 21 international market indices, the findings support the predictions of the risk premium, volatility feedback … and statistical balance. However, little support is found for the short-memory-volatility-component risk premium. It is …

findings support the arguments of risk return tradeoff, volatility feedback and statistical balance. It is reasoned that the …