The contemporaneous call options volume have a significant strong positive feedback effect on the implied volatility …, but the contemporaneous feedback effect of volume on the TARCH volatility is insignificant. The contemporaneous feedback … effects from the implied volatility and the TARCH volatility to the call options volume are positive, significant and strong …

simultaneous estimation of the interdependent duration-volatility model. In an empirical application we utilize the model for an … indirect test of the hypothesis that volatility is caused by private information that affects prices when informed investors … trade. The result that volatility shocks significantly increase expected inter-transaction durations supports this …

in India. Volatility in the NSE Nifty index and that in its futures market are both seen to exhibit features of mean … reversion, volatility clustering and a fair degree of volatility persistence, estimates of which give an idea of the impact and … duration of a particular information shock to the market. The returns volatility is found to exhibit significant asymmetric …

United States. Furthermore, we find that bans on covered short sales generally succeeded in lowering volatility. Banning … (temporarily) stemming liquidity loss during crises. -- short selling ban ; liquidity ; volatility …

market returns, volatility and trading volume for the Ho Chi Minh Stock Exchange (HOSE). Data used in this study is from a …-day has no impact on market volatility and trading volume. …

Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments … implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors …, such as GARCH models, are investigated, to determine if they are more appropriate for predicting future return volatility …

volatility impact of DAX futures trading. Our results confirm a volatility-reducing impact of DAX futures trading, whereas the … stability ; financial market volatility ; GARCH ; stock index futures ; derivatives …