Markov switching (MS) process to the vector auto regression (VAR) estimation of macro financial variables. The switching … between the states of the Markov process is linked to the volatility of gold and the macro financial variables to understand …

intraday volatility measurements and implied ones obtained from options market (VIX). For that we propose the use of intraday … information to estimate volatility for the cases where the stock markets do not have an associated option market. …

-run volatility in the spot market increases; Paudyal et al. (2005). Harris (1989) finds that increased volatility in the spot market …, listed on NSE for the period August 2005 to May 2008. Using Hoadley Options, volatility modeled by GARCH (1, 1) is estimated …. Considering both volume and volatility, mixed evidences are witnessed. Futures introduction has some stabilizing effect on large …

of modeling with the Johnson distribution are introduced: joint estimation of the volatility and two-step procedure where … estimation of the volatility is separate from the estimation of higher parameters. The procedures were demonstrated on Philippine …Stylized facts on financial time series data are the volatility of returns that follow non-normal conditions such as …