dynamics and measures the persistence of shocks to the sovereign bond yield volatility in India from 1 January 2016, to 18 May …Does Indian sovereign yield volatility reflect economic fundamentals, or whether it is a self-generated force flowing … through markets with little connection to such fundamentals? To answer the question, this research explores the volatility …

This paper studies predictability of realized volatility of U.S. Treasury futures using high-frequency data for 2-year … to generate systemic under-predictions of future realized volatility. …

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 …

We document a highly significant, strongly nonlinear dependence of stock and bond returns on past equity market … volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that …, revealing flight to safety: expected returns increase for stocks when volatility increases from moderate to high levels, while …

dynamics and measures the persistence of shocks to the sovereign bond yield volatility in India from 1 January 2016, to 18 May …Does Indian sovereign yield volatility reflect economic fundamentals, or whether it is a self-generated force flowing … through markets with little connection to such fundamentals? To answer the question, this research explores the volatility …

The objective of this article is to investigate the volatility asymmetry, volatility-volume relationship by considering …-GARCH models to examine the volatility pattern in the stock market. Second, both contemporaneous and lagged trading volumes are … augmented in the volatility model to empirically verify the validity of Mixture of Distribution Hypothesis (MDH) and Sequential …

The major purpose of this research exercise is to assess the volatility dynamics of the stock returns of the banks of … India and to determine the factor which influence and explains the stock returns. For this the two important methodologies …

intensified the returns vulnerability of banking indices. Against this backdrop, this study intends to model the volatility of the … literature in three ways. First, volatility during the sample period, which corresponds to a time of stress (a bear market), is … more persistent, with an estimated coefficient of 0.995695. Moreover, when volatility rises, it persists for a long time …