returns and increased volatility on the UK stock market. …

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 …

growing importance of emerging markets, the literature on the nature of volatility in global markets is typified by … volatility in developed G7 and emerging BRICS markets. Broad market index data and GARCH models over the period 2003 …:01–2020:08 were employed. The study found evidence of volatility persistence, asymmetry, mean reversion and weak evidence of a risk …

This study investigated how stock market volatility responded dynamically to unexpected changes during the COVID-19 … pandemic and the resulting uncertainty in Thailand. Using a multivariate GARCH-BEKK model, the conditional volatility dynamics …, the interlinkages, and the conditional correlations between stock market volatility and the increasing rate of COVID-19 …

We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our …

contributing to the intraday pattern of contemporaneous correlations, including volatility, autocorrelations and lagged cross …

the idiosyncratic volatility (IVOL) anomaly. Our results show that the inverse relation between IVOL and future stock …

the idiosyncratic volatility (IVOL) anomaly. Our results show that the inverse relation between IVOL and future stock …

This paper estimates the day-of-the-week effect on the market return, volatility of market returns and trade volume of … exist in case of market return, volatility of market return and trade volume over the study period of 2005 to 2018. It is … evident that lowest return, highest volatility, and lowest trading volume occur on the Sundays. Returns of Mondays and …