aggregate U.S. stock market on: 1) the volatility predictions of asymmetric time series models, 2) implied volatility, and 3 …) realized volatility. Both asymmetric time series models and implied volatility predict an increase in volatility following … large negative surprise returns and ex post realized volatility normally rises as predicted. However, while asymmetric time …

In this study, we aim to analyze the relation between return and volatility in different types of exchange-traded funds … advantages to each other: Toda-Yamamoto (1995); bootstrap based Hatemi-J (2005); volatility spillover, which allows investigating … results obtained from our analyses show that a negative relationship between return and volatility is valid for most ETF types …

Modeling and forecasting volatility of capital markets has been important area of inquiry and research in financial … economics with the recognition of time-varying volatility, volatility clusturing, and asymmetric response of volatility to … investment in Nepalese stock market, it is important to understand the pattern of stock market volatility. In the paper, the …

This paper investigates the role of investor attention in forecasting realized volatility for fourteen international … augmented Empirical Similarity model that combines three volatility components, defined over different time horizons, using the … similarity measure between lagged Google search queries and volatility. Results show that investor attention positively affects …

provided between frequentist and Bayesian estimation. No significant difference is found between the qualities of the forecasts …

estimation method for a high-dimensional VAR model. We apply the robust estimator to predicting large volatility matrices and … estimation and prediction methods. Using high-frequency trading data, we apply the proposed method to large volatility matrix …Various parametric models have been developed to predict large volatility matrices, based on the approximate factor …

time variation of stock return volatility (GARCH). In the long-term, our results suggest that the US defense firms only …. -- terrorism ; volatility ; GARCH ; event study …