in order to investigate the volatility in either of the index. The results of GARCH (1, 1) suggest that the impact of the … previous day volatility in both the spot and future index has impact on the current day volatility. The future market price … volatility has more prominent role to explain the spot market prices as compared to that of the explanatory power of the future …

market seems to play a more important role in price discovery. Volatility spillovers across the two markets are examined by … using a bivariate EGARCH(1,1) model. This model is found to capture all the volatility dynamics. The results indicate that … the transmission of volatility is bidirectional. Any piece of information that is released by the cash market has an …

Using high-frequency data, this study investigates intraday price discovery and volatility transmission between the … volatility of both markets …

The aim of this paper is twofold: to investigate how the information content of implied volatility varies according to … moneyness and option type and to compare option-based forecasts with historical volatility. The different information content of … implied volatility is examined for the most liquid at-the-money and out-of-the-money options: put (call) options for strikes …

The international transmission of intraday price volatility among the United States, United Kingdom, and Japanese stock … hypothesis is not rejected for theJapanese market, meaning that the shocks to Japanese volatility are mostly country-specific. A …

surveys of major banks on the last hour of settlement. This paper tests for abnormal changes in the volatility of Eurodollar …. Volatility series are examined for expiring and nearby contracts using the price changes in fifteen minute intervals for the …, for the expiring contracts, volatility is reduced during the time of survey. perhaps due to reduced open interest and …