financial investments has been debated in the literature. In this study, we compare the volatility of rates of return of …, it is important to model and quantify it. The conditional volatility models from the GARCH family and tail …

The paper is an investigation on the impact of financial markets on the volatility of the green bonds credit risk … detail, we highlight that the gamma in the two Exponential models is positive: so, the "green" credit risk volatility is more …

This paper studies the effect of COVID-19 on the volatility of Australian stock returns and the effect of negative and … positive news (shocks) by investigating the asymmetric nature of the shocks and leverage impact on volatility. We employ a … than the GARCH model in estimating the volatility of the Australian stock returns. However, another interesting finding is …

One of the notable features of bitcoin is its extreme volatility. The modeling and forecasting of bitcoin volatility … volatility were founded on econometric models. Research on bitcoin volatility forecasting using machine learning algorithms is … bitcoin's return volatility and Value at Risk. The objective of this study is to compare their out-of-sample performance in …

volatility in developed (US, Australia), emerging (Turkey, Poland), and frontier (Morocco, Jordan) markets. A study using a GJR … waves. Furthermore, in the aftermath of the pandemic development, an increase in the volatility of stock returns can be …

economic aspects of the world. This study investigated the Islamic stock market's reaction and changes in volatility before and … nine different markets around the globe. To examine changes in volatility and persistence of risk, the generalized … hand, the volatility of Islamic stock indices was substantially amplified after the global health crisis was declared by …

countries studied; hence, implicitly this confirms sustainability. The results based on volatility analysis show a significant … decrease in energy use in response to increasing income growth volatility. The negative effects of income growth volatility on …

and volatility. In addition to covering the periods of the dot.com crash, the 11 September 2001 events, the pre-2007 … financialization bubble period and the resulting Global Financial Crisis, we study volatility spillovers arising from the BRIC, U …

This study introduces a novel index based on expectations concordance for explaining stock-price volatility when novel … market volatility. Lower expectations concordance produces a stabilizing effect wherein the offsetting views reduce market … volatility. The empirical findings hold for ex post and ex ante measures of volatility and for OLS and GARCH estimates. …

Prior theory suggests a positive relation between volatility and market depth, while past empirical research finds … contrasting results. This paper examines the relation between the volatility and the limit order book depth in commodity and … negative relation between volatility and depth and suggest that the depth in the limit order book decreases as volatility …