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 …

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 …

contributing to the intraday pattern of contemporaneous correlations, including volatility, autocorrelations and lagged cross …

We create a newspaper-based Equity Market Volatility (EMV) tracker that moves with the VIX and with the realized … volatility of returns on the S&P 500. Parsing the underlying text, we find that 72 percent of EMV articles discuss the … Macroeconomic Outlook, and 44 percent discuss Commodity Markets. Policy news is another major source of volatility: 35 percent of …

bid and ask spreads and increased intraday volatility. Moreover, there appears to be no evidence for lasting price support …

the influence of volatility asymmetries caused by the Taiwanese government's naked short sale restrictions. Intraday data … asymmetric volatility. However, asymmetric volatility of middle and small sized stocks decreases around the naked short sale ban …

This paper examines the impact of MIB30 Index Futures on the volatility of the Italian Stock Exchange. The results … suggest that the onset of futures trading may have led to diminished daily volatility. They also suggest that the nature of … the volatility itself has not changed between the pre-futures and post-futures periods although a lower volatility is …

The paper examines empirically the impact of price limits and trading halts on stock market volatility. Circuit … breakers are regulatory instruments aiming to reduce severe price volatility and provide markets with a cooling off period … investigates the impact of the regulatory instruments on conditional volatility estimation. The findings do not provide sufficient …