of absolute log returns, which is a typical measure of volatility, for each period. We find that (i) the tail of the …

Stock market volatility is a matter of great interest for researchers and policy makers. The present study examines the … volatility of daily, weekly and monthly stock returns in view of economic growth rate. It investigates the hypothesis that high … examines additional aspect of volatility with regards to expected and unexpected variations in stock returns by applying AR(1 …

This paper examines long memory volatility in international stock markets. We show that long memory volatility is … memory in volatility than emerging and frontier countries and that stock market jumps are negatively correlated with long … memory of volatility. Overall, our results provide some evidence of a link between stock market uncertainty and macroeconomic …

exchange rate, interest rate, money supply, and oil prices on volatility in their stock markets. Investor can search for …