This paper examines the dynamic relationship between firm-level return volatility and public news sentiment. By using … sentiment is related to the intraday volatility of the constituent stocks in the Dow Jones Composite Average (DJN 65). Two … Conditionally Heteroskedastic (FIGARCH) and the two-state Markov Regime-Switching GARCH (RS-GARCH) models. For most of the DJN 65 …

-GARCH) in terms of their ability to forecast the US stock market volatility at horizons that range from one day to one month. To … take into account the excessive persistence usually found in GARCH models that implies too smooth and too high volatility … forecasts, in the MRS-GARCH models all parameters switch between a low and a high volatility regime. Both gaussian and fat …

-GARCH) in terms of their ability to forecast the US stock market volatility at horizons that range from one day to one month. To … take into account the excessive persistence usually found in GARCH models that implies too smooth and too high volatility … forecasts, in the MRS-GARCH models all parameters switch between a low and a high volatility regime. Both gaussian and fat …

volatility of the stock market in Tallinn. We found that there is only a weak relationship between political risks of different … origins and the stock market volatility in the Baltic states in 2004-2007. In addition, we found a significant Monday effect …

According to the Mixture of Distributions Hypothesis (MDH), returns volatility and trading volume are driven by a …) volatility and trading volume changes in different financial markets. An implication is that returns volatility in one stock … market should show positive and contemporaneous correlation with returns volatility in another stock market. This paper tests …

of long memory in volatility of all the index returns. This shows that FIGARCH model better describes the persistence in …Long memory in variance or volatility refers to a slow hyperbolic decay in auto-correlation functions of the squared or … log-squared returns. GARCH models extensively used in empirical analysis do not account for long memory in volatility. The …

in conditional volatility is tested using ARMA-FIGARCH and ARMA-FIAPARCH models under various distributional assumptions …This article attempts to verify the presence of long memory in volatility in the Indian foreign exchange market using … volatility (absolute returns and squared returns) by employing three measures of long memory. Next, the presence of long memory …