This study examines the statistical properties of volatility. Fractal dimension, probability distribution and two …-point volatility correlation are used to measure and compare volatility among six different markets for the 12-year period from Jan. 1 … different in their resistance to volatility : Tokyo has a higher ability to dissipate volatility. This phenomenon implies that …

Volatility plays an important role in the explanation of prices of securities and their derivatives as well as risk … problem of volatility should not be underestimated for the causes of lack of the making in the order book. The introduction of … not seem even so important. We test in this paper the conditional volatility of a certain number of securities considered …

the arrival rates of trades and trade composition on market volatility, liquidity and depth. We find that although … volatility increases with the forecasted arrival rates of total trades, it is relatively independent of the forecasted …

return and volatility equations. When using the GARCH (1,1) specification only for the return equation and the Modified …-GARCH (1,1) specification for both the return and volatility equations, findings indicate that the day of the week effect is …

a proportionality constant which is comparable to the spot rate volatility. This suggests that forward rate market … volatility `hump' around one year found by several authors (and which we confirm). Finally, the number of independent components …

We study the volatility of the MIB30–stock–index high–frequency data from November 28, 1994 through September 15, 1995 …. Our aim is to empirically characterize the volatility random walk in the framework of continuous–time finance. To this end …, we compute the index volatility by means of the log–return standard deviation. We choose an hourly time window in order …

This paper presents a GARCH type volatility model with a time-varying unconditional volatility which is a function of … macroeconomic variables can be easily incorporated into volatility forecasts for share index returns. It transpires that the model … proposed here can lead to significantly improved volatility forecasts compared to traditional GARCH type volatility models. …

path. We argue that such structural differences can account for the negative correlation between volatility and growth. …

In a model where seignorage provides the financing instrument for the government’s budget, public spending volatility … has an adverse effect on long-run growth. This negative relationship arises because the incidence of volatility in this …

In a monetary growth model, I show that average inflation inhibits growth while inflation volatility enhances it. The … effect of nominal volatility on human capital accumulation depends on the response of money demand and the corresponding …