return and volatility equations. When using the GARCH (1,1) specification only for the return equation and the Modified …-GARCH (1,1) specification for both the return and volatility equations, findings indicate that the day of the week effect is …

country betas are time-varying and that currently, global factors are the dominant source of equity market volatility … this study, we examine Capital Asset Pricing Model (CAPM) in its international ontext (ICAPM) using the monthly equity …

Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied … volatilities of at-the-money call and put equity options, is significantly and positively related to future stock market returns at …. The return predictability concentrates around macro news announcement. Common informed trading in equity options offers an …

study demonstrates that idiosyncratic volatility and stock returns relation is quantile dependent. The relation between … idiosyncratic volatility and stock returns is parabolic. The high idiosyncratic risk is associated with high (low) excess returns at … idiosyncratic volatility and the stock returns relation in the literature …

The effect of investor sentiment on stock volatility is a highly attractive research question in both the academic … indicators. In addition, we divide the realized volatility into continuous and jump parts, and then investigate the effects of … trading (VPIN), on the path of investor sentiment affecting stock volatility. It is evidenced that investor sentiments are …

model the volatility of these sectors to increase understanding of their behaviour. …

We propose a new class of conditional heteroskedasticity in the volatility (CH-V) models which allows for time …-varying volatility of volatility in the volatility of asset returns. This class nests a variety of GARCH-type models and the SHARV model … of Ding (2021b). CH-V models can be seen as a special case of the stochastic volatility of volatility model. We then …