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 …

Volatility is the measure of the dispersion from the actual returns. And volatility index (VIX) indicates the expected … market risk and investor's behavior. Therefore, this study aims to observe the volatility levels of the French CAC 40 VIX … econometric tool GARCH (1,1) and an econophysics tool Shannon entropy. This study will carry out a comparison between the two …

Due to the high relevance of 1-day volatility forecasts and the increasing demand for zero-day-to-expiration (0DTE …) options on the S&P 500, the Cboe recently introduced the 1-Day Volatility Index (VIX1D). Compared to the longer …-term volatility indices of the VIX family, it is overall lower and more volatile, shows a weaker negative correlation with the S&P 500 …

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow … imbalances. -- efficient return ; macroeconomic announcements ; microstructure noise ; informational volatility …

reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow … imbalances. -- Efficient Return ; Macroeconomic Announcements ; Microstructure Noise ; Informational Volatility …

In this paper we investigate the volatility structure of the German stock market index DAX and its constituents. Using … a recently developed test, we find a volatility break in 1997. Interestingly, not only is the volatility higher after … 1997 but the volatility persistence also increased. That means that there is a greater likelihood of high volatility days …