exponent about four or an exponential-type decay, the volatility, and its correlations depend on the opening effect of each …

This paper investigates the asymmetry and long-memory volatility behavior of the Malaysian Stock Exchange daily data … volatility and long-memory behavior of the volatility are fitted by the asymmetry GARCH models and GARCH with the inclusion of … realized volatility at the final period. Across the periods, the results show the mixture of symmetry and asymmetry GARCH …

We examine whether the relationship between market volatility and network properties in the low-frequency level can be … Korean stock market data. The results show that the higher the market volatility is, the denser the MST of stocks becomes …. The normalized tree length shows a strong negative relationship with market volatility, indicating that the distances …

volatility. The existence of a Cramér function, the characteristic function for self-similarity, is confirmed by analyzing real …

working months). Volatility also scales, with long-run correlations being particularly important. …

volatility, which are respectively the price change and a measure of the financial market fluctuation over a time interval. With … conditional probability distribution of the return given the volatility and the distribution of the volatility per se. From this … model, we suggest that the non-Gaussian characteristic of the return results from the fluctuation of the volatility. That is …

Since the '80s the volatility of output growth and inflation experienced by several industrialized countries has … volatility of inflation and output growth. …