The present study attempts to examine the dual impact of changes in interest rate and interest rate volatility on the … in the S& P CNX 500 equity index. The effect of interest rate changes and volatility on distribution of stock returns is … to non-financial firms. Interest rate volatility is found to be the significant factor affecting mean and variance of non …

In this study, we predict the daily volatility of the S&P CNX NIFTY market index of India using the basic … jump and continuous component from the realized volatility. We also tried to investigate whether dividing volatility into … simple and threshold jumps and continuous variation yields a substantial improvement in volatility forecasting or not. The …

breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng's algorithm … breaks in volatility, while Cheng's technique works well only when a single break occurs. …