Commonality in idiosyncratic volatility cannot be completely explained by time-varying volatility. We decompose the … common factor in idiosyncratic volatility (CIV) of Herskovic et al. (2016) into two components: idiosyncratic volatility … innovations (VIN) and time-varyingidiosyncratic volatility (TVV). VIN is priced in the cross section of stock returns, whereas TVV …

remains a question. Using a simple model to illustrate the linkage between idiosyncratic volatility and investor overreaction …

volatility, but remains similar across levels of default risk and systematic volatility. These findings contribute to …

volatility. This empirical phenomenon is shown to arise within a tractable accounting-based valuation model that allows for risk … aversion and stochastic earnings volatility. The model predicts that expected stock (stock return volatility) returns are … to explain price dynamics across stock and volatility markets …

and volatility in a Kenya's fledgling equity market – the Nairobi Securities Exchange. Both the GARCH-in-mean and E … conditional volatility are highly persistent. Our results also indicate that conditional variance is driven more by the past … conditional variance than it is driven by new disturbances. Finally, we find evidence of volatility clustering in the stock …

The objective of this article is to investigate the volatility asymmetry, volatility-volume relationship by considering …-GARCH models to examine the volatility pattern in the stock market. Second, both contemporaneous and lagged trading volumes are … augmented in the volatility model to empirically verify the validity of Mixture of Distribution Hypothesis (MDH) and Sequential …

intensively utilized the textual analysis of news and other firm-related documents in volatility prediction models. It has been … studies to date have tended to focus on linear regression methods in predicting volatility. Here, we show that non … improves the prediction accuracy of abnormal stock return volatility. The fact that the length of news articles is more …