The study adds an empirical outlook on the predicting power of using data from the future to predict future returns. The crux of the traditional Capital Asset Pricing Model (CAPM) methodology is using historical data in the calculation of the beta coefficient. This study instead uses a battery...

The volatility of equity and foreign exchange market is an important input to portfolio selection and to asset pricing models. Many investment decisions and valuation of derivatives frequently rely on predictions of volatility. In this paper we review the existing empirical literature in...

We decompose the squared VIX index, derived from US S&P500; options prices, into the conditional variance of stock returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce an accurate measure of the conditional variance. We then...

Asset pricing models assume the risk-free rate to be a key factor for equity prices. Hence, there should be a strong link between monetary policy rate uncertainty and equity return volatility, both in theory and data. This paper uses regression-based projections for realized variance to examine...

Oil plays a very important role in the Indian economy and the stock market. In India, oil is key factor as nearly 85% of crude oil requirements are fulfilled through imports. It is believed that Indian stock market and crude oil are inversely proportional. In the past, it was seen that when...

The stock market volatility has drastically increased in recent days and economies are currently passing through a turbulent period, as reflected in all financial markets and asset classes. The global economic slowdown, the US real estate decline, the credit crisis and the recent reversal in the...

The present value model is a popular and reasonable model used to assessing the stock price in accordance with the rational expectations. In fact, that we see that stocks overvalued may become more overvalued. We argue that investor has another aspect when valuing a stock price. Furthermore, we...

The present value model is a popular and reasonable model used to assessing the stock price in accordance with the rational expectations. In fact, that we see that stocks overvalued may become more overvalued. We argue that investor has another aspect when valuing a stock price. Furthermore, we...

The study adds an empirical outlook on the predicting power of using data from the future to predict future returns. The crux of the traditional Capital Asset Pricing Model (CAPM) methodology is using historical data in the calculation of the beta coefficient. This study instead uses a battery...

This paper examines the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models. Results reveal the presence of ARCH effect in B2 and B3 equity returns. In addition, the estimated models could not find evidence of leverage effect. On evaluating the estimated...