We compared forecasts of stock market volatility based on real-time and revised …

This study investigated how stock market volatility responded dynamically to unexpected changes during the COVID-19 … pandemic and the resulting uncertainty in Thailand. Using a multivariate GARCH-BEKK model, the conditional volatility dynamics …, the interlinkages, and the conditional correlations between stock market volatility and the increasing rate of COVID-19 …

volatility of Thailand and Indian Stock Market. It also analysed whether both countries were reacting similarly to the pandemic … models were used to assess the volatility of both markets. The study revealed that the negative shocks had greateraimpact on …

of stock market volatility. Among the various macro variables in our dataset the term spread, housing starts, corporate … profits, and the unemployment rate have the highest predictive ability for long-term stock market volatility. While the term … spread and housing starts are leading variables with respect to stock market volatility, for industrial production and the …

Various macroeconomic announcements are known to influence asset price volatility. While contemplating the impact of a … underlying cash market, pushes futures prices lower and volatility higher. Conversely, a higher bid-to-cover ratio, which … employment data as having a significant volatility impact on Treasury futures, and highlight the importance of non farm payrolls …