volatility for 32 indexes from advanced and emerging markets. We analyze this seasonality for two periods of time: a relative …-GARCH model allows us to identify, for the two periods, various forms of day of the week effects in returns and volatility … radical decline occurred for the day of the week effects in volatility. In the case of indexes from the emerging markets, the …

Understanding the pattern of stock market volatility is important to investors as well as for investment policy …. Volatility is directly associated with risks and returns, higher the volatility the more financial market is unstable. The … volatility of the Zimbabwean stock market is modeled using monthly return series consisting of 109 observations from January 2010 …

This paper analyzes high-frequency estimates of good and bad realized volatility of bitcoin. We show that volatility … asymmetry depends on the volatility regime and the forecast horizon. For one-day ahead forecasts, good volatility commands a … stronger impact on future volatility than bad volatility on average and in extreme volatility regimes but there is no clear …

This paper discusses a novel explanation for asymmetric volatility based on the anchoring behavioral pattern. Anchoring … of large price fluctuations in the S&P 500 and the resulting effects on implied and realized volatility. These results … indicate that asymmetry (a negative relationship) between shocks and volatility in the subsequent period indeed exists …

) The Volatility Puzzle. We offer resolutions of those objections within the rational finance. We do not claim that those …

study trading quantitatives such as returns, traded volumes, volatility periodicity, and provide summary statistics of …

This paper intends to study volatility and its spillover among South Asian Countries through use of Granger causality … models asses the impact of recession on the nature of volatility by decomposing the long period into two sub periods. The … recession has created higher shock impact on the permanent component of the volatility of stock market of all South Asian …

inter-quantile range spanned by conditional quantile estimates identifies the asymmetric response of volatility to lagged …

relation between national culture and investor behaviour, and how it impacts overall market volatility is studied by examining … synchronized stock price movements and stock market volatility in 47 countries around the world over the period of January 2003 to … volatility. Nations with high individualistic culture have a lower number of synchronized stock price movements and thus have …