yield volatility. For a positive γ, the results suggest the possibility of a "leverage effect" that is markedly different …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 …

yield volatility. For a positive γ, the results suggest the possibility of a “leverage effect” that is markedly different …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 …

yield volatility. For a positive γ, the results suggest the possibility of a “leverage effect” that is markedly different …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 …

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 …, the best models are the ones that can accommodate a leverage effect. Results from fitting the selected exponential GARCH …

“anti-leverage effect” with a coefficient of 0.139638. Thus, the volatility of the Bank Nifty returns tends to rise in … 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 …

study we investigate the mean-volatility spillover effects that happen across international stock markets. The study, by … taking into consideration the stock market returns based on various indices, investigates the mean-volatility spillover … precise and separate measures of return spillovers and volatility spillovers. The analysis provides the evidence of strong …