the role of gold as safe haven typically focus on returns, we also investigate the relationship between gold volatility … and stock returns. In particular, we are interested in the behaviour of gold volatility on days with negative shocks in … the equity market. The conditional volatility of gold is of direct relevance for an assessment of the effectiveness of the …

has generally increased over time, and that in times of crisis liquidity is lower and the volatility of liquidity is …

The oil price volatility index (OPVI) is a direct and more accurate measure of oil price uncertainty. The significance … of the crude oil prices volatility index is used in this paper to examine the effects of crude oil uncertainty on the … (−) fluctuations of the crude oil price volatility index (OPVI). Moreover, the paper measure whether the reform of 2012 stimulated the …

linkages and fundamental forces driving return volatility in the SAARC (South Asian Association for Regional Cooperation … asymmetric volatility responses, while Nepal exhibits an inverted asymmetric volatility response, and in contrast Sri Lanka … exhibits a symmetric volatility response to return shocks. Finally, most of these markets experience volatility spillover …

This paper investigates the asymmetric volatility behavior of Nepalese stock market including the spillover effects … from the US and Indian equity markets. We model asymmetric volatility within generalized autoregressive conditional … compared to the results in other international equity markets: positive shocks increase volatility by more than negative shocks …