The study of volatility inter-dependence provides useful insights into how information is transmitted and disseminated … paper explores volatility spillovers between the Australian and New Zealand stock markets. The objective of the paper is to … determine if volatility surprises in one market influence the volatility of returns in the other market. The existing literature …

the stock market volatility is compared in both the Anglophone world and the Sinophone world. I find that the stock market … volatility and the number of publicly available global news stories are strongly linked to each other in both languages …. Contemporaneous correlations between news and volatility are positive and highly significant, and regressions tell us that the …

Purpose –The purpose of this paper is to test whether the volatility of regional stock markets’ is common or country … the fluctuations of common component of stock market volatility. Design/methodology/approach -The paper applies the time …-varying weighting methodology of Lumsdaine and Prasad (2003) to determine whether the volatility fluctuation is country-specific or …

concentrate on modeling the conditional mean. However, financial time series exhibit certain stylized features such as volatility … to address this issue and to gain insights on the volatility patterns of CDS spreads, bond yield spreads and stock prices …. A generalized autoregressive conditional heteroscedasticity (GARCH) model is applied to the data of four large US banks …

. The data covers the period of 2005-2009. To effectively forecast the volatility in the exchange rates, a GARCH model is …The present study is an attempt to evaluate the predictability of the foreign exchange volatility in thirteen countries … almost all countries except Thailand witnessed non-existence of volatility shocks at least once in a three year pre …

concentrate on modeling the conditional mean. However, financial time series exhibit certain stylized features such as volatility … to address this issue and to gain insights on the volatility patterns of CDS spreads, bond yield spreads and stock prices …. A generalized autoregressive conditional heteroscedasticity (GARCH) model is applied to the data of four large US banks …

empirical results reveal a positive impact of internet information on the conditional volatility of stock returns. Compared with … the prevailing proxies (trading volume and its adjustments), the volatility persistence is most decreased when this novel … proxy is incorporated into the conditional variance equation of the GARCH model. Some tentative explanations are also given …

This study attempts to discover the intraday firm-specific news announcements and return volatility relation in the … Turkish stock market. The GARCH framework is utilized to investigate the impact of firm-specific public news announcements on … volatility persistence with and without trading volume. For the majority of the stocks in the sample, the volatility persistence …

Apart from the well-known, high persistence of daily financial volatility data, there is also a short correlation … financial time series and use it to improve the short-term forecasts from GARCH models. We study different generalizations of … GARCH that allow for several time scales. On our holding sample, none of the considered models can fully exploit the …