During the past two decades, the Cboe Volatility Index (VIX® Index), a key measure of investor sentiment and 30-day … future volatility expectations, has generated much investor attention because of its unique and powerful features. The … introduction of VIX futures in 2004, VIX options in 2006, and other volatility-related trading instruments provided traders and …

on monthly returns and volatility of several American commodity futures. By modeling volatility via an Exponential … volatility. Overall, our findings provide portfolio diversification benefits by showing how the impact of global GPRs, GPAs and …

This research offers a comprehensive review of the volatility spillover patterns in the Gulf Cooperation Council (GCC … changes in the directional patterns of volatility during the pandemic. …

Two distinct and non-redundant understandings of volatility, as deviation from consistency, exist for a time-series: (1 … unpredictable. We find that Bitcoin is a prime example of an asset for which the two concepts of volatility diverge. We show that … properties suggest that, contrary to the volatility of the two traditional assets, Bitcoin’s high volatility is essentially an …

This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using … volatility, the least squares dummy variable bias correction (LSDVC) model is employed. The study finds that volatility of …

. This study aims to quantify the volatility engendered by the conflict, drawing from the analysis of stock market indices … models. The relationship between volatility and news regarding the conflict was analyzed through a vector autoregression … anticipation of the conflict, days prior to February 24. Remote markets experienced comparatively lower volatility, along with the …

volatility process spends longer time in regime 2 than it stays in regime 1. The predicted call option prices from both models …

misaligned exchange rates, appear to have suffered more macroeconomic volatility and also grown more slowly during the postwar … more 'extractive' instit utions from their colonial past were more likely to experience high volatility a nd economic … policies appear to have only a minor impact on volatility and crises. This suggests that distortionary macroeconomic policies …

ICEM through volatility spillover effect (VSE). The results obtained indicate that the occurrence of systemic risk days in … erupt more than twice. The volatility in any specific sub-sector within the ICEM can propagate throughout the entire system …. The spillover pattern of volatility in the ICEM shows similarities across various economic cycles. The fuel cell market is …