the presence of long-run relationship in model. GARCH (1,1) model has been applied for analyzing the volatility in the …

volatility increases. The better-than-expected performance arises because unprofitable firms are distressed and volatile, their … equity resembles a call option on the assets, and call options value increases with volatility, all else fixed. Consistent … with this hypothesis, the profitability anomaly is stronger for distressed and volatile firms, and aggregate volatility …

filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility …, but downgrades increase stock and bond market volatility. Contagion is present, with sovereign rating announcements … (increase) in volatility in other countries. The empirical results show also a financial gain and risk (value-at-risk) reduction …

We compared forecasts of stock market volatility based on real-time and revised …

In this paper, we analyse the relationship between the currency carry return and volatility and liquidity risk factors … outperformance for volatility ones especially the global FX volatility risk factor. Consistent with the poor performance of currency … carry trades during high FX volatility regime, we also show that the well-established negative slope coefficient in the Fama …

returns and volatility of ETF and index. The equity ETF, which tracks NASDAQ (NDX 100), is chosen for the study, and the data …

This paper investigates forecasts of long-term volatility for the fast-growing field of long-short factor strategies in … volatility for a broad set of factor strategies. The data set spans various well-known factors over multiple asset classes … extrapolating past realized volatility. In contrast, fitted models that consider short-term volatility clustering and additionally …

by investing in growth or value stocks. Nonetheless, large-cap firms have less exposure to systematic cojumps than small …

This paper documents a positive cross-sectional relation between returns and lagged idiosyncratic volatility (IVOL) in …

The study aims to empirically examine the transmission of volatility from global stock markets to Indian stock market …-integrated with market returns of US, UK and Japanese stock markets. Therefore, the return and hence volatility of Indian stock market … provide empirical evidence for volatility transmission or volatility spillover in the Indian stock market from global markets …