The paper is aimed at examining the impact of introduction of currency derivatives on exchange rate volatility of Pound … study the impact on underlying volatility GARCH (1, 1) model has been employed. The results indicate that the introduction … of currency futures trading has helped in reducing the exchange rate volatility of the foreign exchange market in India …

The paper is aimed at examining the impact of introduction of currency derivatives on exchange rate volatility of Euro … underlying volatility GARCH (1, 1) model has been employed. The results indicate that the introduction of currency futures … trading has helped in reducing the exchange rate volatility of the foreign exchange market in India. Further, the results are …

This paper empirically investigates the volatility pattern of Indian stock market based on time series data which … Conditional Heteroscedastic (GARCH). For capturing the symmetric and asymmetric volatility GARCH-M (1, 1) and EGARCH (1, 1 … TGARCH (1, 1) models show that negative shocks have a significant effect on conditional variance (volatility) …

)variances of the Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and German …-synchronous and partially overlapping opening hours of the two markets. We find evidence of significant short-term volatility … ('meteor-shower effects').Furthermore, we find that during the subprime crisis the general persistence of short-term volatility …

)variances of the US Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and …-synchronous and partially overlapping opening hours of the two markets. We find evidence of significant short-term volatility …-term volatility shocks is considerably higher and the spillovers effects between the US and the German stock markets are significantly …

. The purpose of this study is to analyze the Casual Relationship and Volatility of BSE Index with special reference to …

volatility, and other non-cap-weighted indices such as high dividend yield, high quality, high and low beta or equal …

This paper examines continuous-time models for the price and volatility processes of individual stocks and the S … diffusive volatility innovations we find that the first principal component is highly correlated with index variance innovations …