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 …

Asymmetric volatility in equity markets has been widely documented in finance, where two competing explanations, as … considered in Bekaert and Wu (2000), are the financial leverage and the volatility feedback hypothesis. We explicitly test for … September 2008. To this aim, we examine asymmetric volatility based on a novel model of market returns, implied market …

This paper empirically investigates the volatility pattern of Indian stock market based on time series data which … Conditional Heteroscedastic (GARCH). For capturing the symmetric and asymmetric volatility GARCH-M (1, 1) and EGARCH (1, 1 … TGARCH (1, 1) models show that negative shocks have a significant effect on conditional variance (volatility) …

The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China …-market spillover. The overall persistence of stock market volatility is highest for Japan (0.931) and lowest for China (0.824). The … bidirectional return, shock, and volatility spillover among most of the stock markets. The magnitude of volatility linkages is low …

The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China …-market spillover. The overall persistence of stock market volatility is highest for Japan (0.931) and lowest for China (0.824). The … bidirectional return, shock, and volatility spillover among most of the stock markets. The magnitude of volatility linkages is low …

market uncertainty and volatility of the investment instruments. Thus, the prediction of the uncertainty and volatilities of … to identify the best fit model that can predict the volatility of return of Bitcoin, which is in high demand as an … the residuals of the average equation model selected have ARCH effect. Volatility of Bitcoin return series after detection …

We propose a new class of conditional heteroskedasticity in the volatility (CH-V) models which allows for time …-varying volatility of volatility in the volatility of asset returns. This class nests a variety of GARCH-type models and the SHARV model … of Ding (2021b). CH-V models can be seen as a special case of the stochastic volatility of volatility model. We then …