The present study addresses the economic interpretation of stock market volatility. We argue that its character is … volatility. This exploits the revealed reaction of investors to gauge the degree of information and uncertainty ascribed to … volatility. We estimate simultaneous timevarying coefficient models, using data of US and further stock markets. We find the …

We develop an empirically highly accurate discrete-time daily stochastic volatility model that explicitly distinguishes … inter-dependencies among the shocks to returns and the two different volatility components. The model estimates suggest that … the leverage effect, or asymmetry between returns and volatility, works primarily through the continuous volatility …

studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …