phenomena as well as the one of the asymmetry of the volatility on the French stock market. The objective of this paper is to …

the volatility of the returns accounting for intraday movements and day-of-the-week effects. Our findings show that …

The present paper is an attempt to examine the volatility in the individual stocks listed at NSE using daily closing … the period of study. Further, the study, finds that the period after 2000-01 has registered comparatively less volatility …

econometric problem of volatility forecasting for a portfolio of a number of selected returns. The discussion complicates given … group of models that measures volatility. As such, forecasted volatility estimates may depend on the model or methodologies … portfolios formed of hundreds or thousands of stocks, for the scope of volatility (and therefore risk) forecasting, PCGARCH is …

attributed to changes in exchange rate, exchange rate volatility and NAFTA. This paper quantifies the effects of the changes in … Mexico-United States real exchange rate, its volatility and NAFTA on Mexico-United States flows of milk powder and … contributes, with empirical evidence, to the debate on the effects of real exchange rate changes and its volatility on agri …

increase stock market returns. Moreover, the volatility of oil prices has a negative impact on international stock market … oil price variations. In addition, the asymmetry of oil price changes impacts oil volatility; i.e., when oil prices soar …, oil volatility also increases, while negative oil price changes dampen volatility. Finally, oil price fluctuations are a …

electricity. In particular by increasing the volatility of prices will eventually lead to higher assets values. …

the most appropriate model to use when one has to evaluate the volatility of the returns of groups of stocks with large … quality of volatility forecast provided by GARCH when compared to any other alternative model, without considering any cost …

-run volatility in the spot market increases; Paudyal et al. (2005). Harris (1989) finds that increased volatility in the spot market …, listed on NSE for the period August 2005 to May 2008. Using Hoadley Options, volatility modeled by GARCH (1, 1) is estimated …. Considering both volume and volatility, mixed evidences are witnessed. Futures introduction has some stabilizing effect on large …