the behaviour of returns and their volatility during both the calm as well as various crises/turmoil periods. Besides the …-GJR-GARCH) were estimated in order to examine the volatility switches of the Central European transition stock markets. The t …-distribution of error terms was used to capture the dynamics of analysed returns more precisely. The results proved high volatility …

The paper is aimed at examining the impact of introduction of currency derivatives on exchange rate volatility of Euro … underlying volatility GARCH (1, 1) model has been employed. The results indicate that the introduction of currency futures … trading has helped in reducing the exchange rate volatility of the foreign exchange market in India. Further, the results are …

This paper empirically investigates the volatility pattern of Indian stock market based on time series data which … Conditional Heteroscedastic (GARCH). For capturing the symmetric and asymmetric volatility GARCH-M (1, 1) and EGARCH (1, 1 … TGARCH (1, 1) models show that negative shocks have a significant effect on conditional variance (volatility) …

The role of public sentiment in stock market volatility has recently become increasingly relevant. Twitter, in theory … potential improvement that social media adds to forecast performance of ARIMA and ARFIMA models of realized volatility using E … sentiment strengthens out-of-sample volatility forecasts across all time periods. While statistical significance exists …

changes (from direct control regime to indirect or market based regime) on the nature of the volatility tradeoffs … regimes. However, no strong evidence of long run volatility relationship could be established. Our results further reveal that … during the current period of market-based regime. Also volatility of output and inflation became more persistent during the …

particularly acute in regard to volatility spillovers. Using the Diebold and Yilmaz (2009) methodology we analyze these metals over … a 20 year period, showing the evolution of volatility spillovers and identifying the source of same …

This paper examines the transmission of GDP growth and GDP growth volatility among the G7 countries over the period … 1960Q1 – 2010Q4, using a multivariate GARCH model and volatility impulse response functions (VIRFs) to identify the source …, magnitude and the duration of volatility spillovers. Results indicate the presence of positive own-country GDP growth spillovers …

We study optimality properties in finite samples for time-varying volatility models driven by the score of the …-driven volatility models have optimality properties when they matter most. Score-driven models perform best when the data is fat …

market was shown to react to news unequally. Volatility spikes sharply when unexpected adverse news reaches the market while …