Modeling volatility during a financial crisis where massive shocks are generated presents an ideal environment for … investigating the dynamics of volatility during periods of extreme fluctuations for comparison with volatility during more tranquil … periods. The objective of this paper is to study volatility of daily stock returns listed on the Egyptian Exchange during the …

conditional volatility through a non-linear moving average process. The NLMACH performance is investigated using a Monte Carlo …

in the market. This paper evaluates the day of the week effect on the daily returns on US dollar and its volatility in …

study, we use a newly introduced spillover index to examine dynamic spillovers between spot and futures market volatility … and UK. Specifically, the spot and futures volatility spillovers between the UK and US markets are of bidirectional nature …

was calculated the impact of the hedge fund market development measured in assets, leverage, the price volatility in … the level of market volatility. Particularly important are the growing share of the links between hedge funds and other … results show a significant correlation between the volatility in the stock market, bonds and CDS, and the activities of hedge …

This paper examines the effects of trade on economic growth and growth volatility. Using the 1967-1975 closure of the … recession or economic slowdown. There is no evidence that trade reduces growth volatility, however. …

have the largest impact on the volatility of long-term interest rates. Long-term interest rates provide significant upward … the volatility of short-term interest rates. Inflation, peso-dollar exchange rate and non-performing loans significantly … drive the medium-term interest rates and shocks due to these are the largest source of volatility for medium-term interest …

reduce the return volatility of TASI. From the EGARCH-M models, it is reflected through the leverage effect that negative … shocks increase the volatility more than positive shocks. The CGARCH-M results show through the volatility persistence rate … liberalization to foreign investment leads to reduce significantly the volatility mostly in the short term, while the foreign …

of exchange returns on changes in exports depends on time varying between low and high volatility in real terms (i …

Long memory in variance or volatility refers to a slow hyperbolic decay in auto-correlation functions of the squared or … log-squared returns. GARCH models extensively used in empirical analysis do not account for long memory in volatility. The … present paper examines the issue of long memory in volatility in the context of Indian stock market using the fractionally …