improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source … for longer horizon volatility forecasts. In this paper we explore the forecasting value of these high fre-quency series in … conjunction with a variety of volatility models for returns on the Standard & Poor's 100 stock index. We consider two so …

market uncertainty and volatility of the investment instruments. Thus, the prediction of the uncertainty and volatilities of … to identify the best fit model that can predict the volatility of return of Bitcoin, which is in high demand as an … the residuals of the average equation model selected have ARCH effect. Volatility of Bitcoin return series after detection …

comovements and the other volatility-induced return comovements. Following Baker and Wurglur (2006), we construct an investor … market volatility. We find that a correlated trading behaviour along with investor sentiment significantly determines excess … stock returns. Also stocks with high volatility exhibit higher return comovement properties compared to low volatilie stocks …

This paper examines the hypothesis that both stock returns and volatility are asymmetric functions of past information …

volatility in Group of 20 countries using various methods, including panel regression with fixed effects, panel quantile … and negative investor sentiments and stock market returns and volatility. Specifically, an increase in positive investor …. The effect of investor sentiment on volatility is consistent across the distribution: negative sentiment increases …

volatility. Our findings indicate that a negative relation between equity market returns and volatility prevails even after … having controlled for the time-varying determinants of conditional volatility within each regime. We also find an asymmetry … in the effect of price range on intra- and inter-regime return volatility. While price range has a stronger effect in the …

This paper examines the stock market returns and volatility relationship using US daily returns from May 26, 1952 to … September 29, 2006. The empirical evidence reported here does not support the proposition that the return-volatility …