and volatility. We use three multivariate general autoregressive conditional heteroscedasticity models (GARCH (1 … and volatility of TUNINDEX in a threshold of 1%. Additionally, we find the presence of a significance and negative effect … for Tuesday on the TUNINDEX return and volatility. Also, we can show the persistence of volatility in the case of Tunisian …

is more certain seasonality on expected returns or in volatility. The conclusion is that we reject all calendar effects … higher seasonality in volatility rather on expected returns, concerning the day of the week and the month of the year effects …

The Chicago Board Options Exchange (CBOE) introduced the CBOE Volatility Index (VIX) in 1993. The index has come to act … as the benchmark for stock market volatility and, more generally, investor sentiment. The VIX has proven to be very … useful in forecasting the future market direction especially during high volatility periods. In order to expedite trading in …