Stock market volatility
Anticipating Long-Term Stock Market Volatility
... and stock market volatility, our analysis is closest to Paye ...long-term volatility, while Paye (2012) reports that it has almost no predictive ...
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Predictive Models for Disaggregate Stock Market Volatility
... of stock return volatility have long been studied over the past two decades (Campbell, Lettau, Malkiel and Xu, 2001; Sohn, ...on stock return volatility, others find such evidence ...between ...
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Does the weather affect stock market volatility?
... of stock market ...historical volatility according to a GJR-GARCH(1,1) model is significantly inversely related to the mood-proxies associated with cloudiness and variation in nighttime hours for 26 ...
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Stock market volatility and jumps in times of uncertainty
... lagged volatility series of equity prices explains a large part of the aggregate time varying stock market ...equity market volatility is related to business cycle fluctuations (Barro ...
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Stock Market Volatility: Comparison Between Dhaka Stock Exchange and Chittagong Stock Exchange
... the volatility of price between Dhaka stock exchange (DSE) and Chittagong Stock Exchange ...on volatility as a part of academic course of Research Methodology and ...not. Volatility is ...
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MEASURING NIGERIAN STOCK MARKET VOLATILITY
... that stock market volatility is largely countercyclical, being larger in bad times than in good ...Accordingly, stock expected returns lower much less during expansions than they increase ...
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Policy risk and Stock Market volatility in China
... of market capitalization, forced state-owned brokers to promise to buy and hold shares until the index reached a higher level, mobilized state-controlled funds to purchase equities, cracked down on ...
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Inflation and stock market volatility in Kenya
... financial market when making decisions rely on their ability to assess market risk and the likely profitability of the financial assets and maximize the returns from their ...market ...
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Index Terms –Stock market volatility, impact of volatility, factors of volatility, growth and volatility, trade
... the volatility in that period was more extreme, sustained, and longer-lived than we get ...The volatility of stocks has generally gone down over ...the stock markets did recover but the labor ...
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Stock market volatility and bank performance in China
... Chinese stock exchanges) over the period ...the stock market volatility and bank competition influence the bank performance in ...that stock market volatility is ...
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BEHAVIOUR OF STOCK MARKET VOLATILITY IN DEVELOPING COUNTRIES
... the stock market volatility in different ...between stock return and stock market volatility by using GARCH-in-mean model of Engle et al and found positive relation ...
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Stock Market Volatility and Macroeconomic Variables Volatility in Nigeria: An Exponential GARCH Approach
... between stock market volatility and macroeconomic variable volatility for China using exponential generalized autoregressive conditional heteroskedasticity (EGARCH) and lag-augmented VAR ...
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AN ANALYSIS OF STOCK MARKET VOLATILITY OF BRICS COUNTRIES
... the stock market often attempt to forecast the stock price and ...the volatility with minimum error facilitates to anticipate the risk and return of ...the stock market ...
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EMPIRICAL ANALYSIS OF STOCK MARKET VOLATILITY AND MACROECONOMIC VOLATILITY IN INDIA
... of stock market volatility begins with introduction of autoregressive conditional heteroscedasticity (ARCH) and Generalised autoregressive conditional heteroscedasticity (GARCH) model by Engle (1982) ...
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Stock Market Volatility and Macroeconomic Variables Volatility in Nigeria: An Exponential GARCH Approach
... between stock market volatility and macroeconomic variable volatility for China using exponential generalized autoregressive conditional heteroskedasticity (EGARCH) and lag-augmented VAR ...
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Idiosyncratic volatility, stock market volatility, and expected stock returns
... excess stock market return, against the alternative hypothesis that the predetermined variables provide additional ...for stock returns over the period 1977:Q1 to ...excess stock market ...
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Is the VIX a Reliable Indicator of Stock Market Volatility?
... for stock market returns in the US ...US stock market indices (S&P 500, AMEX, S&P Mid CAP 400, S&P Small CAP 400, NASDAQ, DOW, and NASDAQ ...US stock market returns ...
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Forecasting Stock Market Volatility and the Informational Efficiency of the DAXindex Options Market
... In the previous section we presented in–sample fits for alternative GARCH(1,1) model estimated from the entire data set. Looking now at the estimation results for the 156 weekly one–year rolling samples for the years ...
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The VIX, the Variance Premium and Stock Market Volatility
... as stock market volatilities peaked at unprecedented levels, but at the same time the crisis represents an informative period during which uncertainty and risk aversion may have been particularly ...
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Multivariate Realized Stock Market Volatility
... the volatility ratio (standard deviation divided by mean) in the third ...smaller stock portfolios have greater time-variation using the low-frequency approach while pairs of large stock portfolios ...
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