In this paper, an attempt has been made to model the volatility of NIFTY index of National Stock Exchange (NSE) and … comprises 3736 data points for the analysis by using Box-Jenkins or ARIMA model. The volatility in the Indian stock market … suggested by Hannan-Rissanen. As per the analysis, ARIMA (1,0,1) model was found to be the best fit to forecast the volatility …

Volatility is an important component of asset pricing; an increase in volatility on markets can trigger changes in the … risk distribution of financial assets. In conventional financial theory, investors are considered to be rational and any … hypothesized that there are movements in risk that are driven by volatility linked to sentiment-driven noise trader activity whose …

theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On … leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The …

We examine the performance of volatility models that incorporate features such as long (short) memory, regime …-t). Second, we perform a comprehensive panel forecasting analysis of the MSM models as well as other competing volatility models … (GMM) estimation are both suitable for MSM-t models, (ii) empirical panel forecasts of MSM-t models show an improvement …

null hypothesis that the variable has no explanatory power. We derive the asymptotic theory for our test statistic and …

volatilityinduced stationarity. Our model employs a leveldependent conditional volatility that maintains stationarity despite the …

Modelling the volatility (or kurtosis) of the implied volatility is an important aspect of financial markets when … GARCH systems to model the volatility of the FTSE 100 Implied Volatility Index (IV). We use GARCH, EGARCH, GJR-GARCH and … other asymmetric models unless there is exceptionally high volatility such as the crisis of 2008 in which case EGARCH …