that algorithmic traders withdrew liquidity and generated uninformative volatility in Swiss franc currency pairs, while …

evolves over time and that it is different under different market conditions defined by exchange rate volatility. Further, we …

This paper examines the effect of foreign exchange news announcements on the volatility of stock returns in Nigeria … volatility equations. The empirical results revealed a positive and significant effect of exchange news announcements on stock … market volatility in Nigeria under symmetric conditional variance. However, there was strong evidence of asymmetric effect …

We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables … in the information set, including implied volatility backed out from option prices. Realized volatility is separated into … its continuous and jump components, and the heterogeneous autoregressive (HAR) model is applied with implied volatility as …

volatility (RV) of ten global stock market indices in the period from January 2000 to December 2021. We train models using a …