studies have shown that the application of appropriate error distribution in volatility model enhances efficiency of the model …The contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and … asymmetric volatility models each in Normal, Student's-t and generalized error distributions with the view to selecting the best …

imbalances. -- efficient return ; macroeconomic announcements ; microstructure noise ; informational volatility …") factor and two market-side-specific components capturing market microstructure effects. The corresponding variance components … reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and …

imbalances. -- Efficient Return ; Macroeconomic Announcements ; Microstructure Noise ; Informational Volatility …") factor and two market-side-specific components capturing market microstructure effects. The corresponding variance components … reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and …