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

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 …

The Arbitrage Pricing Theory (APT) propounded by Ross in 1976 argued for a variety of macro economic variables (sources … Stock returns generally tend to lead rather than follow GDP and inflation. In line with the theory and literature, we find … exchange rate, interest rate, money supply, and oil prices on volatility in their stock markets. Investor can search for …