characteristics of a free market economy such as limited governance, price mechanism and perfect competition to mention a few. Also …

only in the monthly returns making only the EWMA model usable to measure the volatility level in the monthly series. The P-GARCH … (1, 1) model proved to be a better model for modeling volatility in the case of daily returns, while the GARCH (1, 1 …Purpose The current paper aims to fill a gap in the literature by analyzing the nature of volatility on the Karachi …

Purpose – The purpose of this paper is to examine the short‐term and long‐term stock price volatility changes around … bonus and rights issue announcements, using historical volatility estimation and time varying volatility approach. Design …. Second, change in time varying volatility and unconditional volatility is examined using GARCH (1, 1) model. Findings – The …

employ a E-GARCH model and consider the asymmetric response of volatility to shocks of different sign. Further, the authors … investigate the empirical relation between price changes (volatility), trading volume and open interest in futures markets.  …Purpose The purpose of this paper is to examine the effect of trading volume and open interest on volatility of futures …

data, on volatility forecasts of the US REIT market. Design/methodology/approach The author uses the S&P US REIT index and … reveal that search volume data can be used to predict volatility on the REIT market. Especially in periods of high volatility … high volatility. Originality/value This is the first paper to use Google search query data for volatility forecasts of 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 …

Purpose – The purpose of this paper is to compare the daily conditional variance forecasts of seven GARCH-family models …. This paper investigates whether the advanced GARCH models outperform the standard GARCH model in forecasting the variance … of stock indices. Design/methodology/approach – Using the daily price observations of 21 stock indices of the world, this …

Purpose – The paper aims to investigate European equity market integration by analyzing volatility spillover effects … VAR‐GARCH model for each pair of indices is examined. Findings – The results provide evidence on strong EU equity market …

2014, with particular focus on 2007-2008 when the market experienced record-high price volatility. Design …. Findings – The authors find that regardless of the price series adopted, sampling frequency chosen, or CVs used, bubbles … account for only a small fraction of the HRS wheat price behavior during 2004-2014. However, much sharper differences are …