How important are volatility fluctuations for asset prices and the macroeconomy? We find that a rise in macroeconomic … volatility is associated with a rise in discount rates and a decline in consumption. To study the impact of volatility we provide … a framework in which cashflow, discount-rate, and volatility risks determine risk premia. We show that volatility plays …

market volatility. A relatively high return dispersion predicts a deterioration in business conditions, a higher value …

Commonality in idiosyncratic volatility cannot be completely explained by time-varying volatility. We decompose the … common factor in idiosyncratic volatility (CIV) of Herskovic et al. (2016) into two components: idiosyncratic volatility … innovations (VIN) and time-varyingidiosyncratic volatility (TVV). VIN is priced in the cross section of stock returns, whereas TVV …

volatility over the benchmark rational expectations case and exactly matches the standard deviation of consumption. Finally, the … model generates time varying volatility consistent with the data on quarterly equity returns …

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

predictive variance. We show theoretically how this adjustment factor affects both average and volatility of excess returns. We … related to excess volatility as predicted by the model. Further confirming the model's implications, we also show how stock …

-run risks model of Bansal and Yaron (2004) by allowing both a long- and a short-run volatility components in the evolution of … economic fundamentals. With this extension, the new model not only is consistent with the volatility literature that the stock … market is driven by two, rather than one, volatility factors, but also provides significant improvements in fitting various …

risky assets. The daily stock returns at Macedonian Stock Exchange (MSE) are characterized by high volatility and non …-Gaussian behaviors as well as they are extremely leptokurtic. The analysis of MSE time series stock returns determine volatility …