volatility. The research also examines the impact of powerful foreign capital markets on the Greek Stock Exchange market, the … seasonality returns (Day-of-the-Week effect) and the volatility structure. Design/methodology/approach - The analysis of data is …-GARCH model demonstrate that the debt crisis and, therefore, its consequences increase the FTSE / ASE 20 index volatility and the …

. According to the results, bear periods have higher volatility persistency than bull periods. …

study we investigate the mean-volatility spillover effects that happen across international stock markets. The study, by … taking into consideration the stock market returns based on various indices, investigates the mean-volatility spillover … precise and separate measures of return spillovers and volatility spillovers. The analysis provides the evidence of strong …

aggregate U.S. stock market on: 1) the volatility predictions of asymmetric time series models, 2) implied volatility, and 3 …) realized volatility. Both asymmetric time series models and implied volatility predict an increase in volatility following … large negative surprise returns and ex post realized volatility normally rises as predicted. However, while asymmetric time …

Modeling and forecasting volatility of capital markets has been important area of inquiry and research in financial … economics with the recognition of time-varying volatility, volatility clusturing, and asymmetric response of volatility to … investment in Nepalese stock market, it is important to understand the pattern of stock market volatility. In the paper, the …

This study tests the presence of the day of the week effect on stock market volatility by using the S&P 500 market … both volatility and return equations. While the highest and lowest returns are observed on Wednesday and Monday, the … highest and the lowest volatility are observed on Friday and Wednesday, respectively. Further investigation of sub …