Intraday high-frequency data of stock returns exhibit not only typical characteristics (e.g., volatility clustering and … the leverage effect) but also a cyclical pattern of return volatility that is known as intraday seasonality. In this paper …, we extend the stochastic volatility (SV) model for application with such intraday high-frequency data and develop an …

variables used in the merger literature. As predicted by the model, a graph of the target firm's implied volatility against the …

A Hidden Markov Model (HMM) is used to model the VIX (the Cboe Volatility Index). A 4- state Gaussian mixture is fitted … Hedge Index). The results presented here show promising application in modelling and predicting volatility, as well as … identifying current volatility regimes predominating the market …