This paper empirically investigates the volatility pattern of Indian stock market based on time series data which … Conditional Heteroscedastic (GARCH). For capturing the symmetric and asymmetric volatility GARCH-M (1, 1) and EGARCH (1, 1 … TGARCH (1, 1) models show that negative shocks have a significant effect on conditional variance (volatility) …

)variances of the Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and German …-synchronous and partially overlapping opening hours of the two markets. We find evidence of significant short-term volatility … ('meteor-shower effects').Furthermore, we find that during the subprime crisis the general persistence of short-term volatility …

)variances of the US Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and …-synchronous and partially overlapping opening hours of the two markets. We find evidence of significant short-term volatility …-term volatility shocks is considerably higher and the spillovers effects between the US and the German stock markets are significantly …

. The purpose of this study is to analyze the Casual Relationship and Volatility of BSE Index with special reference to …

volatility, and other non-cap-weighted indices such as high dividend yield, high quality, high and low beta or equal …

This paper examines continuous-time models for the price and volatility processes of individual stocks and the S … diffusive volatility innovations we find that the first principal component is highly correlated with index variance innovations …

return and volatility spillover between the S&P 500 and 12 Asian stock markets using weekly data from January 2000 to … February 2020. DECO-GARCH models are employed to measure volatility transmission between markets. A generalized VAR, variance … the interdependence of the conditional returns, conditional volatility, and conditional correlations between the stock …