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 …

objective is to provide a framework to model conditional volatility regarding the changes in the investor sentiment by measuring … the effect of noise trader demand shocks on the volatility of stock market indexes of the various countries. GARCH, TARCH …, and EGARCH models are used to test whether earning shocks have more influence on the conditional volatility in high …

for each country, and investigates the spillover effects on the country-level stock market idiosyncratic volatility across … on the country-level stock market idiosyncratic volatility. We find that that the effect of developed … idiosyncratic volatility continues when we utilize various economic, financial, and political risk factors as controls, as well as …

This study investigates the impact of macroeconomic instabilities on returns volatility spillover that is transmitted … derive values of volatility for all variables; an asymmetry dynamic conditional correlation (ADCC) model to produce a measure … of volatility spillover as the dependent variable; and a panel data regression technique to assess the causality …

estimation of the cost of capital. …

Financial market volatility is an important element when setting up port- folio management strategies, option pricing … bigger impact on stock market volatility, namely at sensitivity, persistence and asymmetric effects. …

This paper examines long memory volatility in international stock markets. We show that long memory volatility is … memory in volatility than emerging and frontier countries and that stock market jumps are negatively correlated with long … memory of volatility. Overall, our results provide some evidence of a link between stock market uncertainty and macroeconomic …