using inflation-induced equity market volatility (EMV) to better account for bond price determinants. The regression model …, a GED-GARCH (1,1) procedure, is adopted to deal with the volatility clustering and fat tail features in bond return … the domestic market (expect in Japan). This study introduces the equity market volatility arising from inflation or the …

This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using … volatility, the least squares dummy variable bias correction (LSDVC) model is employed. The study finds that volatility of …

. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have … several tools to measure downside volatility, including the lower partial moment and the maximum drawdown. The performance … Index is a volatility measure that only captures continuous downside movements in share price, and ignores upside volatility …

The present research investigates the impact of trading volume on stock return volatility using data from the Greek … banking system. For our analysis, the empirical study uses daily measures of volatility constructed from intraday data for the … on stock return volatility mainly in all quantiles. The findings extrapolated are of relevance and interest to financial …

We studied (i) the volatility feedback effect, defined as the relationship between contemporaneous returns and the … market-based volatility, and (ii) the leverage effect, defined as the relationship between lagged returns and the current … market-based volatility. For our analysis, we used daily measures of volatility estimated from high frequency data to explain …

growing importance of emerging markets, the literature on the nature of volatility in global markets is typified by … volatility in developed G7 and emerging BRICS markets. Broad market index data and GARCH models over the period 2003 …:01–2020:08 were employed. The study found evidence of volatility persistence, asymmetry, mean reversion and weak evidence of a risk …

volatility. Our methodology shows the efficacy of stabilization policies, initiated notably by the Federal Reserve, in dampening …

This study investigated how stock market volatility responded dynamically to unexpected changes during the COVID-19 … pandemic and the resulting uncertainty in Thailand. Using a multivariate GARCH-BEKK model, the conditional volatility dynamics …, the interlinkages, and the conditional correlations between stock market volatility and the increasing rate of COVID-19 …

This study examines the effects of geopolitical risk (GPR) shocks on stock market returns and volatility across G7 … volatility effects tend to strengthen, suggesting persistent risks for investors in these markets. These insights provide new …