This study investigates the volatility spillover dynamics between the VIX fear index and the Magnificent Seven technology stocks - namely Microsoft, Apple, Nvidia, Amazon, Alphabet, Meta Platforms, and Tesla - over the period of June 2012 to March 2024. To achieve this objective, the variance...

This study explores how the volatility spillover mechanism and dynamic dependence among the founding BRICS equity markets, namely IBOVESPA, MICEX, Nifty 50, SSE, and JSE, have evolved over time using a multivariate DCC-GARCH model. The analysis is conducted across three distinct regimes: the...

This study examines the role of volatility mean reversion in option pricing and evaluates the performance of commonly used volatility estimators within a broad market context. Using a comprehensive dataset of end-of-day option chains for the 100 most actively traded U.S. equities from 2018 to...

This paper examines the asymmetric impact of economic policy uncertainty (EPU) on exchange rate volatility across a sample of developed and emerging economies. Using an asymmetric GARCH-MIDAS model, volatility is decomposed into short-term and long-term components, with the latter associated...

This paper compares the daily return volatility by four leading international indices: JSE Top 40, FTSE 100, Nikkei 225 and S&P/ASX 200. The return series are modelled in ARMA process, where ARMA(1,3) values are taken for JSE Top 40 and S&P/ASX 200, ARMA(0,0) for FTSE 100, and ARMA(1,2) for...

This study examines the asymmetric responses of stock market indices in Türkiye and Kazakhstan to oil price shocks during the 2010-2025 period. Using the Nonlinear Autoregressive Distributed Lag (NARDL) model, the study decomposes the nonlinear effects of oil price fluctuations on financial...