This paper analyzes stock market volatility for the financial industry after the TARP (Troubled Asset Relief Program …) legislation was passed. The purpose of this paper is to determine how TARP money affected short-term volatility of the market … measure volatility by employing the following methods: in order to measure intraday volatility, Parkinson (1980) and Garman …

speculate, we show that speculation increases volatility of asset returns and investment growth, increases the equity risk …

EGARCH model. Empirical results indicate significant return and volatility spillover effects during the full sample and the …-movements, and strong volatility persistence. During the Russian Great Recession subsample, the ownreturn effects of the markets are … partially integrated and the volatility transmission linkages across them are not that strong in crises periods, thus confirming …

stock return data, which includes both features and allows the co-existence of long memory in volatility and short memory in … returns. We extend this model to allow the financial parameters governing the volatility-in-mean effect and the leverage …

-dependent return and volatility patterns across assets and markets. Moreover, we document significant co-movement and spillover effects …