This paper examines the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models … in Student’s t-distribution are adjudged the best volatility models for B2 and B3 respectively. The study recommends that … in modelling stock market volatility, variants of GARCH models and alternative error distribution should be considered …

This article investigates the effects of interest rates volatility on stock market returns and volatility using weekly … returns on the 15 selected public sector Banks namely Allahabad Bank, Andhra Bank, Bank of Baroda, Bank of India, Canara Bank …, Corporation Bank, Dena Bank, Indian Overseas Bank, Oriental Bank of Commerce, Punjab National Bank, State Bank of India, Syndicate …

relationship between the returns volatility in stock market and the banking performance, and (2) Bank size has a significant role … banks; and, the bank-size has a significant negative impact on volatility-performance relationship. Specifically, the … sector. The study attempts to examine the impact of stock market returns volatility on performance of banking sector in …

studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …

We show that part of the outperformance of low-volatility stocks can be explained by a premium for interest rate … exposure. Low-volatility stock portfolios have negative exposure to interest rates, whereas the more volatile stocks have …

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

returns and increased volatility on the UK stock market. …