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 …

closely and has certain other advantages. Second, we introduce a volatility index that provides a lower bound on the market …

The prevailing view of implied volatility comovements, IVC, defined as the correlation between a firm's implied … volatility and the market's implied volatility, is that they indicate the presence of systematic volatility risk to the firm …'s investors. We take a different stance and conjecture that implied volatility comovements can also indicate expected information …

We provide evidence that an option implied volatility-based measure predicts future absolute excess returns of the … return volatility shortly before these information events, and the volatility of excess stock returns around these two events …, and also trade on the expected volatility. In addition, we show that net straddle returns (after transaction costs) around …

Market Hypothesis sense. The paper tries to show that this so-called excess volatility is to a large extend the result of the …, constant dividend growth rates as well as non-variable discount rates. It is shown that indeed volatility declines considerably … cashflow ; excess volatility ; variance bound test ; rational expectations …

.28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price … Risk ; Intermediary ; Volatility …

decomposing realized volatility in its continuous and discontinuous jump component. First, we analyze the relation between … volatility and trading activity. Coherent with existing studies we find that the driving factor of the relation between … Data ; Realized Volatility ; Price Jump ; Trading Activity ; Urgent Market Message …

In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures … price discovery compared to Non-HFTs, but also add a higher share to noise than to permanent volatility. Moreover, I find … evidence that HFTs tend to supply less liquidity after an unexpected rise in market volatility and prior to upcoming …

market volatility as measured by the VIX. Implying that investor purchase decisions are primarily driven by returns and sale …