We compared forecasts of stock market volatility based on real-time and revised …

evaluates the performance of the models. The probit model with the industrial production index and the realized volatility as …

volatility. Our methodology shows the efficacy of stabilization policies, initiated notably by the Federal Reserve, in dampening …

This study investigated how stock market volatility responded dynamically to unexpected changes during the COVID-19 … pandemic and the resulting uncertainty in Thailand. Using a multivariate GARCH-BEKK model, the conditional volatility dynamics …, the interlinkages, and the conditional correlations between stock market volatility and the increasing rate of COVID-19 …

of stock market volatility. Among the various macro variables in our dataset the term spread, housing starts, corporate … profits, and the unemployment rate have the highest predictive ability for long-term stock market volatility. While the term … spread and housing starts are leading variables with respect to stock market volatility, for industrial production and the …

volatility. Among the various macro variables in our dataset the term spread, housing starts, corporate profits and the … unemployment rate have the highest predictive ability for stock market volatility . While the term spread and housing starts are … leading variables with respect to stock market volatility, for corporate profits and the unemployment rate expectations data …

This paper examines the effect of macroeconomic releases on stock market volatility through a Poisson … relevant to explain jump dynamics and improve volatility forecasts on event days is provided. -- Conditional jump intensity … ; conditional volatility ; macroeconomic announcements …

macroeconomic fundamentals emanating from Germany and the U.S. We examine the reaction of intraday returns and volatility of the CAC … immediate response in returns and volatility of the German and the French stock market sampled at a five-minute frequency. The …