The increasing interaction between the equity market and cryptocurrencies has raised concerns about volatility … investigates the mean and volatility spillover effects between the Thai stock market and leading cryptocurrencies from April 2019 … sectoral-specific mean and volatility spillovers across major Thai stock market sectors. The findings reveal the significant …

Volatility forecasting for financial institutions plays a pivotal role across a wide range of domains, such as risk … management, option pricing, and market making. For instance, banks can incorporate volatility forecasts into stress testing … frameworks to ensure they are holding sufficient capital during extreme market conditions. However, volatility forecasting is …

In this study, we predict the daily volatility of the S&P CNX NIFTY market index of India using the basic … jump and continuous component from the realized volatility. We also tried to investigate whether dividing volatility into … simple and threshold jumps and continuous variation yields a substantial improvement in volatility forecasting or not. The …