Predicting volatility is a must in the finance domain. Estimations of volatility, along with the central tendency … research is to analyze the influence of COVID-19 on the return and volatility of the stock market indices of the top 10 … volatility remains higher than in normal periods, signaling a bearish tendency in the market. The COVID variable, as an exogenous …

In this paper, we examined the changes in volatility overflow among the exchange rate of the Japanese yen (JPY), the … and transportation equipment indices). The findings highlighted causality in variance (volatility spillover) among the … variables. We revealed that volatility could also spread indirectly among the variables (from one variable to another through a …

in volatility of precious metals has been reduced. The results suggest gold is the most stable of the precious metals …

-varying parameter vector autoregression (TVP-VAR) method, the intensity, direction and variation of volatility spillover between the … caused by the outbreak of COVID-19 rather than before the crisis. The volatility of each sector was also primarily due to … their own volatility. Thirdly, the banking sector was the main sector with respect to volatility spillover. The results that …

and volatility. In addition to covering the periods of the dot.com crash, the 11 September 2001 events, the pre-2007 … financialization bubble period and the resulting Global Financial Crisis, we study volatility spillovers arising from the BRIC, U …

This study introduces a novel index based on expectations concordance for explaining stock-price volatility when novel … market volatility. Lower expectations concordance produces a stabilizing effect wherein the offsetting views reduce market … volatility. The empirical findings hold for ex post and ex ante measures of volatility and for OLS and GARCH estimates. …