value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …

This paper investigates volatility spillovers across 16 stock markets of both advanced and emerging economies using the … spillover index methodology put forward by Diebold and Yilmaz (2012). Realised volatility as defined by Andersen et al (2003 … based on the volatility estimators put forward by Garman and Klass (1980), Parkinson (1980) and the univariate GARCH …

for forecasting the volatility of both the TASI and the TIPISI in the context of petrochemical industries, as this model … outperforms the other models in model estimation and daily out-of-sample volatility forecasting of the two indices. This study is …

The purpose of the empirical research study is to analyze the volatility of OMX Tallinn Index in Estonia from 2002 to … Model for each phases of OMX Tallinn Index in Estonia from 2002 to 2022 that could grasp not only the volatility but also … asymmetric volatility caused by various important events for each particular period. The total sample size is 6,032 i.e. 3 phases …

Accords in that the jump component of the volatility process does not need to be treated separately for the purpose of stress …

forecasting the volatility of Tehran stock market in some horizon of forecasting. This paper provides an analysis of regime … switching in volatility and out-of-sample forecasting of the IRAN using daily data for the period 1995-2011. We first model … volatility regime switching within a univariate Markov-Switching framework. Then We provide out-of-sample forecasts of the TEHRAN …

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 …