Search Results for: Volatility Co Movement

I estimate a GARCH-based volatility factor model that incorporates market volatility and information from high-frequency data. I find that index and stock volat

In this paper, we analyse historical stock market volatility and co-movement behaviour of three emerging markets and three developed economies from January 2001

We use data on realized volatility to establish co-movement in volatility on the Saudi Arabian and Kuwaiti stock exchanges. We show, in addition, that the proba

Through the application of Diagonal BEKK and Asymmetric Diagonal BEKK methodologies to intra-day data for eight cryptocurrencies, this paper investigates not on