We explore the relevance of GARCH models in explaining stock return dynamics and volatility on the Vietnamese stock … market. Although the evidence suggests that volatility is prevalent on this market, the effects of shocks on volatility are …

The current work undertakes an overview of the forecasting volatility with high frequency data topic, attempting to … answer to the fundamental latency problem of return volatility. It surveys the most relevant aspects of the volatility topic …, suggesting advantages and disadvantages of each alternative in modeling. It reviews the concept of realized volatility and …

relationship between trading activity, volatility and transaction cost for five most traded commodities in India. Results suggest … transaction cost and volatility. Further, the results of structural model support the results of VAR analysis. Therefore, if the … government imposes CTT, it would lead to higher volatility and lower trading activity affecting market efficiency and liquidity. …

For determining the Value-at-Risk number with statistical models volatility must be the primary calculation. There are … different volatility estimation methods on VaR calculation. The traditional volatility estimation methods are inadequate for … modeling “stylized facts” which are often observed on the financial price series. In this study, different volatility models …

devastating effects of output volatility on long-run growth trends. Empirical analysis conducted for 154 countries over the 1996 …-2005 period shows that an increase from low values of the rigidity of employment index strengthens the influence of volatility on …

place. The volatility in the gold prices can be seen as an indicator of non-stability for the market as a whole. Under such … employment of alternative investment instruments depending on the supply demand equilibrium. In this study, the volatility of …. Following this, volatility is being tested by ARCH LM test. After choosing the most proper model of volatility, with the help of …

In conditions of high exchange rate volatility, entities conducting foreign trade transactions are subject to currency …

geometric Brownian motion accounting for uncertainty, drift, and volatility. We present this argument within a principal …