The aim of this paper is to study the integration of volatility in the three markets, viz. spot, futures and options, in order to provide input for hedging purposes and the formulation of policies for derivatives. The generalized method of moments (GMM) is used to capture the simultaneous...

The aim of this article is to summarize exhaustively and concisely, the different methodologies for estimating the volatility that has been proposed for the real options approach (ROA), and also provide a theoretical and practical explanation for estimating an unbiased volatility and...

The generalized autoregressive conditional heteroscedastic model (GARCH) is used to estimate volatility for Nifty Index futures on day trades. The purpose is to find out if a contemporaneous or causal relation exists between volatility volume and open interest for Nifty Index futures traded on...

The objective of this paper is to analyze the volatility spillover effects in the Moroccan interbank sector before and during the COVID-19 pandemic crisis using the DY model. Specifically, this study assesses the impact of the recent COVID-19 outbreak on the transmission of volatility among...

This paper explores empirically the behavior of the Chicago Mercantile Exchange (CME) bitcoin futures contract. The analysis focuses on the time period between the launch of the CME bitcoin futures contract on December 18, 2017, and September 17, 2018. The behavior of the bitcoin spot market and...

The main task of this paper is to determine accuracy of some of widely used technical analysis techniques for MBI-10 stocks price forecast at MSE. We are testing accuracy of several technical analysis techniques: MACD (Moving-Average Convergence/Divergence), RSI (Relative Strength Index),...

The valuation of options and to a large extent the financial derivatives market require an optimal estimation of the volatility, since this is precisely the variable that is negotiated. We present then a statistical methodology for the estimation of the volatility parameter for an asset using...