volatilityinduced stationarity. Our model employs a leveldependent conditional volatility that maintains stationarity despite the …

affected the persistence of policy spreads (i.e., the difference between overnight rates and policy rates) during different sub …

In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …

link between monetary policy rate uncertainty and equity return volatility, both in theory and data. This paper uses … for equity variance and volatility at weekly, monthly and even quarterly horizons. The findings imply that market views of …

This paper explores the effects of US monetary policy events on intraday volatility in the US equity markets. We … policy announcements and their impact on the intraday volatility dynamics of the S&P 500 index. The analysis shows elevated … intraday volatility following FOMC announcements through the market close, with a spike at the time of the announcement. We …

respectively. The univariate analysis suggests a high degree of persistence in all cases: the fractional integration parameter d is …

respectively. The univariate analysis suggests a high degree of persistence in all cases: the fractional integration parameter d is …