principal method used for the research. The results were also illustrated using examples and simulation studies. Volatility … statistical properties of volatility modeling.  …

and robust methodology to examine the effect of real exchange rate volatility on foreign direct investment (FDI) in a …‐2002 were used. ARCH and GARCH models were employed for the determination of real exchange rate volatility, and co … volatility of the real exchange rate has a negative influence on FDI inflow and that the liberalization process has not led to a …

Purpose – The purpose of this paper is to analyse the impact of macroeconomic uncertainty on stock‐price volatility in … volatility models for each macroeconomic variable; namely consumer price index (proxy for inflation), exchange rate, money supply … heteroskedasticity (EGARCH) model. In the second stage volatility effect of macroeconomic variables on stock prices is estimated using …

-2010 period and examine its effects on market volatility. Design/methodology/approach – Herding is examined over portfolios formed … Salmon (2004). Four volatility measures are employed. Findings – The findings depict the presence of herding over two … confirm a linear effect of herding on all volatility measures considered. Stocks exhibiting higher levels of herding or …

a reaction in the market; at any rate, the stock's volatility quite rarely depends solely on such an occurrence …

increasing the volatility of underlying physical market prices. Suspension of guar seed futures contract in 2012 at National … this paper is to investigate whether sudden surge in futures trading volume leads to increase in the volatility of spot … market prices. Design/methodology/approach – Guar seed spot returns volatility is modeled as a GARCH (1, 1) process. Futures …

Purpose – The purpose of this paper is to present a behavioral explanation of excess stock price volatility relative to … volatility can be expected to be greater than a simple present value model would imply. Originality/value – This paper is unique … volatility.  …

specifically, it aims to conduct an examination of the relationship between momentum returns and idiosyncratic volatility (IVol) to …

Purpose – This paper aims to examine the nexus between the pricing of market-wide volatility risk and distress risk in … constructing an ex post factor that mimics aggregate volatility risk based on the new VIX index of the Chicago Board Options … Exchange, termed FVIX, as well as focuses on volatility risk in crisis versus non-crisis time periods. Design …