because of its extensive applications in financial analysis, stock market volatility modeling is a significantly important issue for stock market practitioners and academicians. using garch models to formulate the conditional variance heteroskedasticity and the taking advantages of panel data technique such as higher degrees of freedom, more flexibility in the control of the omitted or unobserv...

The dynamic effect of idiosyncratic risk on market returns has been debated recently. Previous studies examine the effect based on a regression of excess returns on one-lagged volatility. We claim this approach provides only a partial, limited picture of the dynamic effect of idiosyncratic risk that tends to be persistent over time. By correcting for the serial correlation in idiosyncratic vola...

In recent years, the increasing importance of the futures market in the Indian financial markets has received considerable attention from researchers, academicians and financial analysts. This paper is an attempt to examine the time varying properties of volatility of India’s stock index futures market. The application of GARCH class models provides the evidence of the persistence of time varyi...

This article provides an overview of market-based option pricing and its applications. First, two fundamental approaches for market-based option pricing from the literature are introduced. Then, three important new processes, the deterministic volatility model, the stochastic volatility model, and a model including jump, are discussed. Finally, several empirical analyses on the NIKKEI225 option...

In this chapter we use particle filtering methods to estimate volatility and examine volatility dynamics for three financial time series during the early part of the current credit crisis. We compare estimates from a pure stochastic volatility model, a stochastic volatility model with jumps and a Garch model to each other and to the market volatilities implied by actual option prices. Our three...

introduction: continuous fluctuations in the prices of agricultural commodities have a significant effect on the situation of countries, especially developing countries in the world. in the short term, the impact of price shocks on imports of agricultural commodities and balance of payments and foreign exchange reserves is considerable in developing countries and it has negative effects on soci...

One of macroeconomists’ major concerns is GDP volatility, and understanding what causes this volatility is essential when attempting to reduce it. For decades, the automotive industry has been a major component of US GDP. Therefore, understanding the driving forces behind this industry indirectly contributes to the study of GDP volatility. This paper focuses on CAFE standards and how they chang...

In this paper, we provide a detailed characterization of the volatility in China Treasury bond market using a sample of 5-min excess return from January, 4, 2000 to February, 28, 2002. We use two-step regression procedure and multivariate GARCH model to show that macroeconomic announcements is an important source of the volatility in China Treasury Bond market. Among the various announcements, ...

Currency option market has developed strongly since breakdown of the Bretton Wood agreement in the early 1970s. Options have begun to be an alternative risk management tool to cope with the high exchange rate volatility. After the stock market crash in 1987 market participants could have observed some new phenomena in option prices. The so-called volatility smile appeared to violate the famous ...

The evidence of volatility-price dependence observed in previous works (Karakatsani and Bunn 2004; Bottazzi, Sapio and Secchi 2005; Simonsen 2005) suggests that there is more to volatility than simply spikes. Volatility is found to be positively correlated with the lagged price level in settings where market power is likely to be particularly strong (UK on-peak sessions, the CalPX). Negative co...