liquidity proxy variable, Chicago Board of Exchange's (CBOE) S&P 500 market volatility index (VIX), into the model. Variance …

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 …

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

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 …

This study examines the role of daily volatility persistence in transmitting information from macro-economy in the … volatility of energy markets. In crude oil and natural gas markets, macro-economic factors, such as the VIX, the credit spread … and the Baltic exchange dirty index, impact volatility, and this impact is channeled via the volatility persistence …

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 stock market volatility . While the term spread and housing starts are … leading variables with respect to stock market volatility, for corporate profits and the unemployment rate expectations data …

volatility series are being tested for significant reactions to the Brexit event. The results indicate mixed results regarding … the abnormal cumulative return series, but the volatility series were found to be significantly affected by the mentioned …