crises, liquidity variables have a negative influence on the volatility, in contrast to the time period after the outbrake of …

volatility) associated with financial returns, was the portmanteau statistic for non-causality in variance of Cheng and Ng (1996 … the paper is to derive a simple test for causality in volatility that provides regularity conditions arising from the …

volatility) associated with financial returns was the portmanteau statistic for non-causality in the variance of Cheng and Ng … affect the power of the test. The purpose of the paper is to derive a simple test for causality in volatility that provides …

Volatility is the measure of the dispersion from the actual returns. And volatility index (VIX) indicates the expected … market risk and investor's behavior. Therefore, this study aims to observe the volatility levels of the French CAC 40 VIX … adopted methodologies to verify the most suitable tool for capturing the volatility by interpreting the similarity or the …

Though the issues of co-movement and volatility transmission between Islamic and conventional stock indices have been … conventional index from the perspective of cointegration and volatility spillover employing ARDL bounds testing cointegration … can predict its future price using any of the index prices. Univariate GARCH(1,1) model finds evidence of volatility …

(2006), to determine the volatility spillovers between interest rates and stock returns for the US, the euro area, the UK …, and Japan. The investigation pays careful attention to volatility transmissions between stock returns and interest rates … causality is observed, the volatility spillover from interest rates to stock markets are more prominent for the full-sample, as …

market capitalization, the increasing volatility of the virtual currencies raise various concerns. One of the major concerns … cryptocurrencies returns. This can be attributed to the presence of asymmetric volatility clusters. This study has significant …

In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily … persistence of volatility, meaning that the conditional volatility tends to revert faster to the long-term mean than the other … statistically significant and positive (thus confirming the hypothesis that an increase in volatility leads an increase in future …

credit and equity markets advocate the use of market price and volatility channels as explanatory factors. In particular, the … evolution of CDS spreads is analyzed along with the level of the equity market and a well-chosen implied volatility index. We … leptokurtosis are captured. Incidentally, the sensitivity of aggregate CDS spreads to equity market price and volatility channels …

Did the terrorist attacks of September 11, 2001 change the volatility dynamics of stock markets? Using daily returns … comparison to these characteristics during the pre-9/11 period. Our results show that the volatility behavior changed … significantly after the terrorist attacks of 9/11. We show that this sudden shift in the volatility behavior cannot be explained by …