This study empirically examines the nature of volatility in BSE Realty Index using daily closing price of BSE Realty … models, both symmetric and asymmetric, for the analysis. The results show that the volatility is persistent in the Index … return indicating the presence of volatility clustering in the series. Further, the paper reports the presence of asymmetric …

Volatility is the measure of the dispersion from the actual returns. And volatility index (VIX) indicates the expected … market risk and investor's behavior. Therefore, this study aims to observe the volatility levels of the French CAC 40 VIX … adopted methodologies to verify the most suitable tool for capturing the volatility by interpreting the similarity or the …

series from 21 international market indices, the findings support the predictions of the risk premium, volatility feedback … and statistical balance. However, little support is found for the short-memory-volatility-component risk premium. It is …

forecasting the volatility of Tehran stock market in some horizon of forecasting. This paper provides an analysis of regime … switching in volatility and out-of-sample forecasting of the IRAN using daily data for the period 1995-2011. We first model … volatility regime switching within a univariate Markov-Switching framework. Then We provide out-of-sample forecasts of the TEHRAN …

This paper investigates the conditional correlations and volatility spillovers between crude oil returns and stock … empirical results from the VARMA-GARCH and VARMA-AGARCH models provide little evidence of volatility spillovers between the …

study we investigate the mean-volatility spillover effects that happen across international stock markets. The study, by … taking into consideration the stock market returns based on various indices, investigates the mean-volatility spillover … precise and separate measures of return spillovers and volatility spillovers. The analysis provides the evidence of strong …

Modelling the volatility (or kurtosis) of the implied volatility is an important aspect of financial markets when … GARCH systems to model the volatility of the FTSE 100 Implied Volatility Index (IV). We use GARCH, EGARCH, GJR-GARCH and … other asymmetric models unless there is exceptionally high volatility such as the crisis of 2008 in which case EGARCH …

describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns … ; volatility ; stock market ; transition …

improved volatility measurements but has also inspired research into their potential value as an information source for … volatility forecasting. In this paper we explore the forecasting value of historical volatility (extracted from daily return … series), of implied volatility (extracted from option pricing data) and of realised volatility (computed as the sum of …