more often tend to appreciate rather than depreciate, as noted by Fama (1983). In this paper, we treat volatility as the … critical state variable and show that positive returns to the carry trade are overwhelmingly generated in the low-volatility … "normal" state, whereas the high-volatility state is associated with lower returns or with losses as currencies revert to the …

objective is to provide a framework to model conditional volatility regarding the changes in the investor sentiment by measuring … the effect of noise trader demand shocks on the volatility of stock market indexes of the various countries. GARCH, TARCH …, and EGARCH models are used to test whether earning shocks have more influence on the conditional volatility in high …