to mobilise capital and diversify risk, the study findings suggest that share price and the exchange rate are the most …

The purpose of this paper is to investigate the volatility impacts of the suspension of a call auction system by the … volatility on NSE is compared with that of the Bombay Stock Exchange using two volatility proxies: modulus of log returns and … scaled intra-day price difference. We also focus on conditional volatility by estimating an AGARCH model on seasonally …

-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 …

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. …

. Since the volatility of returns on stocks is not constant through time, conditional heteroscedasticity models are used to … estimate the volatility of stock returns. The impact of tax on volatility of return on indices is insignificant. …

, focusing on the relationship between returns and conditional volatility. The conditional mean follows a GARCH-M model, while … PGARCH) were tested. We examine how accurately these GARCH models forecast volatility under various error distributions … the following: (i) the Macedonian stock returns time series display stylized facts such as volatility clustering, high …

listed shares. Our analysis concerns the risk which arises from the Markowitz mean-variance approach. Our work method will be … methods of measurement of return, risk and the other statistical properties constitute, in fact, the pillars of companies …

the second phase of management process, namely the measurement of risk. This can be defined as an uncertainty which has an …The management of financial risks, which is a branch of financial theory, is defined as a process that begins with risk … factors identification, continues with measurement of risk and concludes with the coverage of that risk. This work focuses on …

The uncertainty plays a central role in most of the problems which addressed by the modern financial theory. For some … time, we know that the uncertainty under the speculative price varies over the time. However, it is only recently that a … emergence and development of these models, Value-at-Risk, which plays a major role in assessment and risk management of …