This analysis is the first to investigate the influence of index futures trading volume on spot market volatility for … between VN30-Index futures trading volume and the volatility of the spot market for the HOSE in the short-run. In addition … influence on spot market volatility. Moreover, the results derived from the error correction model (ECM) indicate that only 5 …

market seems to play a more important role in price discovery. Volatility spillovers across the two markets are examined by … using a bivariate EGARCH(1,1) model. This model is found to capture all the volatility dynamics. The results indicate that … the transmission of volatility is bidirectional. Any piece of information that is released by the cash market has an …

volatility-related products. Despite many efforts, the precise underlying reasons are yet to be discovered. We study the role of … statistical inferences for stochastic volatility models, the dynamics of the volatility expectation index VIX remain controversial … between the VIX spot and the implied volatility of standard & Poor’s 500 options, suggesting a volatility feedback effect. The …