This paper examines whether there is evidence of spillovers of volatility from the Chinese stock market to its … then adopted to test for the persistence of volatility in stock market returns, as represented by stock market indices … neighbours and trading partners, including Australia, Hong Kong, Singapore, Japan and USA. China's increasing integration into …

Australia's S&P/ASX-50 stock market, we also use the model to forecast the intraday Value at Risk. As the model requires a daily …'s history. An almost similar dramatic change in intraday volatility was observed on April 4, 2000 when DJIA dropped by 4 … intraday asset volatility. There are numerous models available in the finance literature to model financial asset volatility …