valuation of the asset at any given time. However, most models for forecasting the return or volatility of assets completely … Australian markets which show that this model improves high frequency volatility forecasts. This is most evident for news which …

We analyse the puzzling behavior of the volatility of individual stock returns around the turn of the Millennium. There … volatility trend. We find that many of the different explanations capture the same unusual trend around the Millennium. We find … exlplain the time-series behavior in volatility. It seems thai all of the variables that track average volatility well do so …

. The volatility of spot stocker cattle prices is comparable to spot feeder cattle prices, supporting the idea of using … feeder cattle implied volatility measures as estimates of stocker cattle futures implied volatility in option pricing models …

hedge funds and CTAs and market volatility. However, a positive relationship between hedge fund and CTA trading volume and … market volatility is consistent with either a private information or noise trader hypothesis. Three additional tests are …

This paper examines whether the firm-level and the industry-level cross-sectional volatility (CSV) contains any … incremental information about the future market-level volatility in Australia. We analyze daily equity returns data from 2 January … 1992 to 31 May 2004. Using a conditional volatility framework that allows for excess kurtosis in returns, we find that CSV …

This paper investigates the empirical relationship between intraday volatility and trading volume. Our primary data set … Rahman et al (2002), our results indicated that the GARCH (1,1) model best describes the volatility of intraday returns …. Current volatility can be explained by past volatility that persists over time. Our results also show that the persistence in …

relation with the volatility and a negative relation with stock prices, while the striking reversed L-shaped pattern of the … depths has a negative relation with stock prices and the volatility but a positive relation with trading volumes. Finally …

After examining both the interday and intraday return volatility of the Shanghai Composite Stock Index, it was found … that the open-to-open return variance is consistently greater than the close-to-close variance. The volatility of interday … higher interday volatility than the afternoon session. This broadly L-shaped interday volatility is also supported by an L …

This paper investigates the empirical relationship between intraday volatility and trading volume. Our primary dataset … volatility of intraday returns. Our results also show that the persistence in volatility remains in the intraday return series … as an information variable has quite a limited effect on the volatility of intraday returns in the Shanghai stock market …