The major purpose of this research exercise is to assess the volatility dynamics of the stock returns of the banks of … India and to determine the factor which influence and explains the stock returns. For this the two important methodologies …

This paper studies high-frequency econometric methods to test for a jump in the spread of bond yields. We propose a …

volatility of the Standard and Poors 500 index among recent extensions of the heterogeneous autoregressive model. While we find …, improvements achieved by the inclusion of implied volatility turn out to be insignificant. …

incorporation of structural breaks while estimating volatility in the Nigerian stock market. This will help to avoid over-estimation …This study examines the volatility persistence and asymmetry with exogenous breaks in Nigerian stock market. The study … of volatility shocks and restore investor's confidence in the stock market. …

forecasting technique with respect to various volatility estimators. The methodology of volatility estimation included Close …Volatility has been used as an indirect means for predicting risk accompanied with an asset. Volatility explains the … variations in returns. Forecasting volatility has been a stimulating problem in the financial systems. This study examined the …

forecasting technique with respect to various volatility estimators. The methodology of volatility estimation includes Close …Volatility had been used as an indirect means for predicting risk accompanied with the asset. Volatility explains the … variations in returns. Forecasting volatility had been a stimulating problem in the financial systems. The study examined the …

This paper introduces the Markov-Switching Multifractal Duration (MSMD) model by adapting the MSM stochastic volatility … feature of durations generated by the MSMD process propagates to counts and realized volatility. We employ a quasi … asymptotic normality for general MSMD specifications. We show that the Whittle estimation is a computationally simple and fast …

presence and timing of an outlier. Next, a second test determines the type of additive outlier (volatility or level). The tests …

market uncertainty and volatility of the investment instruments. Thus, the prediction of the uncertainty and volatilities of … to identify the best fit model that can predict the volatility of return of Bitcoin, which is in high demand as an … the residuals of the average equation model selected have ARCH effect. Volatility of Bitcoin return series after detection …

daily realized volatility data of Standard & Poor's 500 (S&P 500) and several other indices, we obtained good performance … heterogeneous autoregressive and other models of realized volatility. …