This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

This paper addresses stock market volatility in Germany between 1991 and 2018. Through a GARCH model with leverage term …, an estimation of volatility in the DAX is provided. Such estimation is then plugged into a quantile regression model … where potential economic determinants are analyzed. The results suggest that stock market volatility in Germany reached its …

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

We propose a methodology to include night volatility estimates in the day volatility modeling problem with high … the natural relationship between the realized measure and the conditional variance. This improves volatility modeling by … leverage effect and maintains a mathematical structure that facilitates volatility estimation. A class of bivariate models that …

The volatility analysis of stock returns data is paramount in financial studies. We investigate the dynamics of … volatility and randomness of the Pakistan Stock Exchange (PSX-100) and obtain insights into the behavior of investors during and … before the coronavirus disease (COVID-19 pandemic). The paper aims to present the volatility estimations and quantification …