This paper examines time-varying stock price and volatility dynamics of constituent industry sector indices in the … of return during rises in aggregate stock market volatility. Finally, this paper identifies which industries exhibit the … highest degree of volatility persistence and how this impacts their respective beta estimates. It shows time-dependence in …

Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange … during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with … the US markets. Further examination of this phenomenon reveals that the positive impact of good news on volatility is …

The purpose of this study is to investigate the relationship between investor sentiment and leading equity market …) and Twitter-based Market Uncertainty Index (TMU) negatively influenced the equity indices at lower quantiles. The wavelet …

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component … of volatility in finance for portfolio allocation, derivative pricing and risk management. The method has a two …

This study examines the impact of volatility shifts on volatility persistence for three major sector indices of … volatility shifts which are determined by using iterated cumulative sums of squares (ICSS) and modified ICSS algorithms such as … Kappa-1 (κ-1) and Kappa-2 (κ-2). The results indicate that the inclusion of volatility shifts in the model substantially …

This paper documents the time-series and cross-sectional variations in bank capital ratios and investigates their … underlying driving forces using listed Japanese bank data from 1977 to 2009. We derive an overall framework in the form of a … present-value model to decompose the ariation in bank capital ratios into changes in expected future stock returns …

This paper examines the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models …. Results reveal the presence of ARCH effect in B2 and B3 equity returns. In addition, the estimated models could not find … in Student's t-distribution are adjudged the best volatility models for B2 and B3 respectively. The study recommends that …

prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … forecasts are produced by a realized range based HAR model with a GARCH volatility-of-volatility component. …