return and volatility equations. When using the GARCH (1,1) specification only for the return equation and the Modified-GARCH … (1,1) specification for both the return and volatility equations, findings indicate that the day of the week effect is …

Volatility of financial markets is an important topic for academics, policy makers and market participants. In this … these specifications. Then assuming that the squared returns are the benchmark estimate for actual volatility of the day, I … compare all of the models with respect to how much efficient they are to mimic the realized volatility. At the same time I …

conjectured, GARCH effects play an important role in some sectors but are not significant in others. Astonishingly, the volatility …This paper addresses the question if there are differences between time patterns in the volatility of investment across … different industrial sectors. A competitive partial-equilibrium model with quadratic adjustment costs in investment and a GARCH …

This paper examines the forecasting performance of GARCH’s models used with agricultural commodities data. We compare … containing a genuine stock index also. The implied goal is to find out if the GARCH models are more fitted for stock indices than …

, it is found, has a significant impact on domestic money supply and stock market growth, liquidity and volatility. The …

According to the Mixture of Distributions Hypothesis (MDH), returns volatility and trading volume are driven by a …) volatility and trading volume changes in different financial markets. An implication is that returns volatility in one stock … market should show positive and contemporaneous correlation with returns volatility in another stock market. This paper tests …

-parametric regression approach to next-day volatility forecasting. A second finding is that the GARCH(1,1) model severely over-estimated the … unconditional variance leads to poor volatility forecasts during the period under discussion with the MSE of GARCH(1,1) 1-year ahead … can be used for volatility forecasting over longer horizons. A comparison between the GARCH(1,1) volatility forecasts and …

This study examines the statistical properties of volatility. Fractal dimension, probability distribution and two …-point volatility correlation are used to measure and compare volatility among six different markets for the 12-year period from Jan. 1 … different in their resistance to volatility : Tokyo has a higher ability to dissipate volatility. This phenomenon implies that …

Volatility plays an important role in the explanation of prices of securities and their derivatives as well as risk … problem of volatility should not be underestimated for the causes of lack of the making in the order book. The introduction of … not seem even so important. We test in this paper the conditional volatility of a certain number of securities considered …

the arrival rates of trades and trade composition on market volatility, liquidity and depth. We find that although … volatility increases with the forecasted arrival rates of total trades, it is relatively independent of the forecasted …