This paper examines the dynamic relationship of volatility and trading volume using a bivariate vector autoregressive … methodology. This study found bidirectional causal relations between trading volume and volatility, which is in accordance with … current volatility. Findings also reveal that trading volume shocks significantly contribute to the variability of volatility …

As far as the author’s knowledge, the paper is the first attempt dedicated to understanding the risk and volatility of …-frequency domain. Using wavelet coherence, we have gained valuable insights into the volatility and continuous dynamics of cross …

BSE-100 indices, representing stock markets’ indices of Pakistan and India respectively, are used. To find volatility …, EGARCH model is applied. This study empirically reveals that negative shocks have more pronounced impact on the volatility … than positive shocks. These stock markets also faced persistent volatility clustering. Recent global financial crisis made …

This paper presents an empirical analysis of volatility in GDP real growth rates for Portugal over the period 1960 … identify the timings of volatility changes; (2) to analyse the time varying nature of volatility, in particular whether it has … adopting GARCH modelling strategy accounting for the occurrence of regime changes in both the trend and volatility, the results …

macroeconomic volatility, consumption behaviour and welfare for a large sample of countries. Differing from previous works, our … empirical strategy is grounded on consumption and takes account of the role of persistence in consumption/income volatility. Our … main conclusion is twofold: on one hand, we determine that aggregate volatility exerts, on average and ceteris paribus, a …

of the financial market volatility. The multifractal models appear in the context of the new paradigm of the financial … motion with a multifractal time-deformation process that produces volatility clustering, and its purpose is not to predict … model through trading time, a random distortion of clock time that accounts for changes in volatility. …

Purpose–The purpose of this study is to discover and model the asymmetry in the price volatility of financial markets …/methodology/approach–The volatility of the financial market price is usually defined with the standard deviation or variance of the price or price returns …. This standard definition of volatility is split into the upper part and the lower one, which are termed here as Yang …

In our paper we use data mining to compare the volatility structure of high (daily) and low (weekly, monthly … (on our data) the theoretical hypothesis that an increase in volatility leads to a rise in future returns, mainly because …

particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous …

autoregressive conditional heteroskedasticity (GARCH) model. Trend and volatility are estimated jointly with the maximum likelihood …