the variance matrix. Monte Carlo evidence for parameter estimation based on different small sample sizes is provided. We …

This paper examines the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models … in Student’s t-distribution are adjudged the best volatility models for B2 and B3 respectively. The study recommends that … in modelling stock market volatility, variants of GARCH models and alternative error distribution should be considered …

before the event, as suggested by significantly lower trading volumes and volatilities. The high event-day volatility is …

This study investigates the relation between volatility in the returns and trading volume adjusted for overall up … variance equation of the GARCH(1,1) model tend to reduce persistence in volatility more than the contemporaneous and lagged … trading volume. The overnight non-trading period downward price movement induced trading volume affect conditional volatility …

autoregressive estimation on the other hand suggests a two-way Granger causality between S&P 500 volatility and the trading of S …This study investigates the relationship between the volatility of stock market indexes and the trading volumes of … volume of S&P 500 ETFs is a key determinant of S&P 500 volatility at both monthly and daily frequencies. Vector …

differences of opinion is left, and hence volatility is decreased. …

differences of opinion is left, and hence volatility is decreased. …