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 …

in order to investigate the volatility in either of the index. The results of GARCH (1, 1) suggest that the impact of the … previous day volatility in both the spot and future index has impact on the current day volatility. The future market price … volatility has more prominent role to explain the spot market prices as compared to that of the explanatory power of the future …

Equity index implied volatility functions are known to be excessively skewed in comparison with implied volatility at … index implied volatility from simulating the 30 dimensional return system of all DAX constituents. Option prices are …-dependence coupled with asymmetric correlation response to negative news is essential to explain the index implied volatility skew …

This paper applies GARCH models to ascertain the impact of index futures trading on the volatility of the spot market … volatility within the underlying spot market. In addition, the research verifies the sensitivity of price to information as well … as the impact the leverage effect may have on the degree and structure of volatility. As Australia is a commodity driven …

After the Debt Ceiling Bill was passed on August 2, 2011, the S&P 500 index returns volatility increased significantly … until the end of 2011. This research investigates the return volatility movements in S&P 500 spot index and index futures … markets, the lead/lag relationship between two markets, and the effect of volatility on the trading costs using year 2011 …

After the Debt Ceiling Bill was passed on August 2, 2011, the S&P 500 index returns volatility increased significantly … until the end of 2011. This research investigates the return volatility movements in S&P 500 spot index and index futures … markets, the lead/lag relationship between two markets, and the effect of volatility on the trading costs using year 2011 …

After the Debt Ceiling Bill was passed on August 2, 2011, the S&P 500 index returns volatility increased significantly … until the end of 2011. This research investigates the return volatility movements in S&P 500 spot index and index futures … markets, the lead/lag relationship between two markets, and the effect of volatility on the trading costs using year 2011 …