return and volatility spillover between the S&P 500 and 12 Asian stock markets using weekly data from January 2000 to … February 2020. DECO-GARCH models are employed to measure volatility transmission between markets. A generalized VAR, variance … the interdependence of the conditional returns, conditional volatility, and conditional correlations between the stock …

Predicting volatility is a must in the finance domain. Estimations of volatility, along with the central tendency … research is to analyze the influence of COVID-19 on the return and volatility of the stock market indices of the top 10 … volatility remains higher than in normal periods, signaling a bearish tendency in the market. The COVID variable, as an exogenous …

We analyze volatility contagion between the U.S. and Chinese stock markets and international capital markets. The … volatility is modeled using: GARCH, TARCH, EGARCH, APARCH, IGARCH, FIGARCH, ACGARCH and GAS models under Gaussian, GED and t …-Student distributions. 21,000 intraday observations of thirteen markets from January/1st to June/25th 2020 are employed. Once volatility is …

This paper constructs a global tail risk (GTR) index and examines the role of GTR in predicting the volatility of … international stock markets. Our empirical results emphasize that GTR contains valuable information to predict the stock volatility … improve the forecasting accuracy of international stock market volatility, especially considering the time-varying regime …