This study adopts the Markov-switching ARCH (hereafter SWARCH) model to examine the volatility nature and volatility … following notions. First, we find strong evidence of regime shift in the volatility of four segmented markets and SWARCH model … appears to outperform standard GARCH family models. Second, although there are some common features of volatility switch in …

This paper empirically investigates the behaviour of daily stock return volatility around price limit hits for a sample … investigate whether daily return volatility for stocks that hit a price limit is lower (higher) in the post limit hit period than … volatility spill over hypothesis. Our results indicate that stocks-hit experience their highest level of volatility on the day …

system, which will be described in this paper. The hypothesis of the optimal volatility equilibrium is introduced as a pillar … leading to the power law, which states that such system must adjust itself around a level of optimal volatility in order to …

This paper is an attempt to model the volatility of the equity data of the two Indian stock markets. The study found … volatility clustering in the daily returns of indices. Different GARCH models were estimated for various indices of NSE and BSE … for the possibility of volatility transmission within a country and between the two exchanges. The study found volatility …

than other SAARC nations. The study examined the volatility of the markets with the help of the ARCH model and found that … the Indianko and Bangladesh stock markets volatility were significantly influenced higher by the global equity market … benchmark index volatility. This paper is mainly use the institutional investors, academicians, and various stakeholders of …

Accords in that the jump component of the volatility process does not need to be treated separately for the purpose of stress …

The intraday volatility and volume U-shape pattern is well documented in the literature. It describes the common … behavior at the time of low volatility and they may achieve this by breaking up their trades into smaller parts. At the time of … high volatility informed traders are willing to place large orders at the beginning and the end of the trading day because …

We test the predictive ability of investor sentiment on the return and volatility at the aggregate market level in the … volatility in most of the countries, and in Italy such impacts lead to an increase in returns by 4.7% in the next month …