In this research paper ARCH-type models and option implied volatilities (IV) are applied in order to estimate the Value … volatility estimation is considered. The empirical analysis is performed on futures contracts of both the Standard and Poors 500 … the ARCH-type models. Under both methodologies there are relevant statistical gains when asymmetries are included. The …

exponential GARCH (EGARCH) model with an integrated dynamic conditional correlation (DCC) approach to measure the impact on the …This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices …, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility …

This paper examines the behavior of India Volatility Index (India VIX). We study two aspects: First, the negative … India VIX and movements in the NIFTY. The study reveals the asymmetric nature of the Volatility Index-Market Return … correlation between changes in India VIX and market returns. Second, the asymmetric nature of the changes in India VIX with …