volatility. The research also examines the impact of powerful foreign capital markets on the Greek Stock Exchange market, the … seasonality returns (Day-of-the-Week effect) and the volatility structure. Design/methodology/approach - The analysis of data is …-GARCH model demonstrate that the debt crisis and, therefore, its consequences increase the FTSE / ASE 20 index volatility and the …

substantial volatility. Among them, macro-control policies and transaction cost adjustments are a double-edged sword, which should …

. According to the results, bear periods have higher volatility persistency than bull periods. …

In this paper we discuss univariate and multivariate statistical properties of volatility with the aim of understanding … stock's volatilities and the volatility clustering. Volatility clustering is related to the memory property of the … volatility time-series and therefore to its predictability. Our results show that there exists a relationship between the level …

aggregate U.S. stock market on: 1) the volatility predictions of asymmetric time series models, 2) implied volatility, and 3 …) realized volatility. Both asymmetric time series models and implied volatility predict an increase in volatility following … large negative surprise returns and ex post realized volatility normally rises as predicted. However, while asymmetric time …

Modeling and forecasting volatility of capital markets has been important area of inquiry and research in financial … economics with the recognition of time-varying volatility, volatility clusturing, and asymmetric response of volatility to … investment in Nepalese stock market, it is important to understand the pattern of stock market volatility. In the paper, the …

in order to investigate the volatility in either of the index. The results of GARCH (1, 1) suggest that the impact of the … previous day volatility in both the spot and future index has impact on the current day volatility. The future market price … volatility has more prominent role to explain the spot market prices as compared to that of the explanatory power of the future …