This article analyzed the presence of long memory in volatility in 5 Asian equity indices namely SENSEX, CNIA, NIKKEI …-sample forecast accuracy. The results confirmed the presence of long memory in both the return and volatility series for all the five … markets under study. Among the group, CNIA and STI showed most persistence in both the return and conditional volatility. In …

autoregressive estimation on the other hand suggests a two-way Granger causality between S&P 500 volatility and the trading of S …This study investigates the relationship between the volatility of stock market indexes and the trading volumes of … volume of S&P 500 ETFs is a key determinant of S&P 500 volatility at both monthly and daily frequencies. Vector …

This paper examines time-varying stock price and volatility dynamics of constituent industry sector indices in the … of return during rises in aggregate stock market volatility. Finally, this paper identifies which industries exhibit the … highest degree of volatility persistence and how this impacts their respective beta estimates. It shows time-dependence in …

In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …

return and volatility equations. When using the GARCH (1,1) specification only for the return equation and the Modified …-GARCH (1,1) specification for both the return and volatility equations, findings indicate that the day of the week effect is …