This study is conducted to find if there is an existence of volatility persisting in any of the market capitalization indices from NSE NIFTY 500 for the sample period starting from April 2007 to December 2019. The following ARCH family models are tested to find the best model fit and use the...

In the era of diminishing power from US dollar and increasing competition among world currencies, Bitcoin, as a completely new concept as a medium of exchange, has received increasing attentions over the world. Nowadays, Bitcoin also becomes an investment vehicle, which carries attractive...

Variance-optimal hedging in a discrete-time framework is a practical options strategy that aims to reduce the residual risk. It has been widely used in volatility trading desks. In this paper, we solve the variance-optimal hedging problem for affine GARCH models both semi-explicitly and through...

Among all the emerging markets, the cryptocurrency market is considered the most controversial and simultaneously the most interesting one. The visibly significant market capitalization of cryptos motivates modern financial instruments such as futures and options. Those will depend on the...

This study empirically examines the nature of volatility in BSE Realty Index using daily closing price of BSE Realty Index for five and half years period from January 2011 to June 2016. The study employs both conditional heteroscedasticity models, both symmetric and asymmetric, for the analysis....

In the paper, we show how the estimates of the daily volatility of major exchange rates, EUR/USD, AUD/USD, GBP/USD, and NZD/USD, depend on the hour at which the daily returns are calculated. FOREX market is open 24 hours a day, but traders from different parts of the world, if some local time is...

In this paper we propose semi-closed-form solutions, subject to an inversion of the Fourier transform, for the price of VIX options and target volatility options (TVOs) under affine GARCH models based on Gaussian and Inverse Gaussian distributions. We illustrate the advantage of the proposed...

This article investigates the impact of introduction of equity derivatives in NSE, India, on price and liquidity characteristics of the underlying. First, the effect on price is examined following an event study methodology provided by Brown and Warner (1985), where the significance of the...

Using a multi-regime forecasting model, we investigate the impact of COVID-19 pandemic on market volatility. We show that daily number of active cases and the Curvature are significant predictors of daily cross-section of both realized volatility and the GJR-GARCH volatility in global equity...

This paper studies the dynamic change of volatility spillovers between several major international financial markets during the global COVID-19 pandemic using Diebold and Yilmaz's connectedness index. We found that the total volatility spillover in this March reached its highest level of recent...