average, exponentially something, AR, and GARCH class models including ARCH, GARCH, GJR- GARCH, and EGARCH. Volatility is … exchanges (TSE), where the market is highly regulated and therefore less subject to volatility. To evaluate the forecasting … with other volatility forecasting models in international exchanges. However, the simple smoothing model provides superior …

This paper examines the impact of MIB30 Index Futures on the volatility of the Italian Stock Exchange. The results … suggest that the onset of futures trading may have led to diminished daily volatility. They also suggest that the nature of … the volatility itself has not changed between the pre-futures and post-futures periods although a lower volatility is …

demonstrate that geopolitical risk plays an important role in determining both oil price volatility and (to a lesser extent) stock … market volatility. An increase in geopolitical risk is associated with positive (negative) oil (stock) returns and is … correlation. This model shows short- and long-term volatility persistence for oil and stock prices, together with spillover …

Understanding the pattern of stock market volatility is important to investors as well as for investment policy …. Volatility is directly associated with risks and returns, higher the volatility the more financial market is unstable. The … volatility of the Zimbabwean stock market is modeled using monthly return series consisting of 109 observations from January 2010 …

correlation networks. We observe volatility clustering of various forms in the time series of returns and uncover regular …

This study investigates the relationship between the volatility of stock market indexes and the trading volumes of … volume of S&P 500 ETFs is a key determinant of S&P 500 volatility at both monthly and daily frequencies. Vector … autoregressive estimation on the other hand suggests a two-way Granger causality between S&P 500 volatility and the trading of S …

This paper introduces a new class of long memory model for volatility of stock returns, and applies the model on …

This study examines the ability of investor sentiment to predict conditional volatility and excess returns at both … been confirmed that bullish (bearish) sentiment increases (decreases) volatility which in-turn affect the mean variance … relationship. However, the commonality of the effect of investor sentiment via conditional volatility has not been uniform across …