Leveraged and inverse exchange-traded funds (ETFs) have been heavily criticized for exacerbating volatility in … large in magnitude and, therefore, mitigate the potential for these products to amplify volatility. We also show …

Margin regulation raises two policy concerns. First, an alignment of margins to volatility can amplify procyclicality … following volatility spikes but does not immediately lower margins following volatility declines, implying that margin …

(WLS) and generalized autoregressive conditional heteroskedasticity (GARCH) estimators of the difference in expected excess …. Across the different WLS and GARCH estimates we find that the point estimates are considerably smaller than the OLS estimates … and fluctuate considerably across different sub samples. We show that the large difference between the WLS, GARCH and OLS …

relationship between the stock markets of Korea, Japan, and the United States. We estimate GARCH models to quantify the importance … of "volatility spillovers" from Japan and the U.S. on the mean and variance of Korean returns. Such spillovers have …