, the author argues that there is a relationship between HFT, increased market volatility, fall in trading activity …

making up the Dow Jones Industrial Index, I calculate intraday upside and downside volatility measures, following Becker et … document that for all the stocks in the sample, mean daily returns following the days when a stock’s upside volatility measure … was higher or equal to its downside volatility measure are higher than following the days when the opposite relationship …

stability ; financial market volatility ; GARCH ; stock index futures ; derivatives … volatility impact of DAX futures trading. Our results confirm a volatility-reducing impact of DAX futures trading, whereas the …

market volatility (VIX) by calculating technical trading rules with the VIX price data, as opposed to the stock prices. Three … (least) profitable during the period with the highest (lowest) volatility levels …

performance data, such as the volatility of share prices, we find no evidence to support this hypothesis …

and the specification form of the volatility process when modelling volatility with the parametric GARCH family models …. This paper examines the Chinese stock market volatility and the asymmetric effects in the Chinese stock volatility by a … empirical result from the GAMNP model demonstrates better performance for the volatility forecasts, particularly in the out …

characterized by dramatic currency volatility. Burdens on the NYSE and home market to restore price parity for cross-listed stocks …

The paper examined the volatility pattern of Shariah compliant stocks in India through January 2007 to July 2014. We … by using Arch LM test and observed the presence of ARCH effect in the return series further extended to GARCH (1, 1 …) model. This model observed the volatility clustering in the Shariah compliant stocks …