We propose a semi-parametric coupled component GARCH model for intraday and overnight volatility that allows the two … the ratio of overnight to intraday volatility has actually increased in importance for Dow Jones stocks during the last …

We propose a semi-parametric coupled component GARCH model for intraday and overnight volatility that allows the two … of 1992-2015. We show that actually the ratio of overnight to intraday volatility has increased in importance for big … stocks in the last 20 years. In addition, our model provides better intraday volatility forecast since it takes account of …

volatility index (VIX) via a nonparametric copula method. Specifically, we propose a conditional dependence index to investigate … that the nonparametric leverage effect is much stronger than the nonparametric volatility feedback effect, although, in …

We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and … for modeling the ISE-100 return volatility. The t-distribution seems to characterize the distribution of the heavy tailed … model to the historical ISE-100 return data indicates that the return volatility reacts to bad news 24% more than they react …

studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …