Volatility is the primary measure of risk in modern finance and volatility estimation and inference has attracted substantial attention in the recent financial econometric literature, especially in high-frequency analyses. High-frequency prices carry a significant amount of noise. Therefore, there are two volatility components embedded in the returns constructed using high frequency prices: the...

this paper investigates the nature of volatility characteristics of stock returns in the bangladesh stock markets employing daily all share price index return data of dhaka stock exchange (dse) and chittagong stock exchange (cse) from 02 january 1993 to 27 january 2013 and 01 january 2004 to 20 august 2015 respectively.  furthermore, the study explores the adequate volatility model for the stoc...

This paper aims to determine the impact of dividend policy on stock price volatility by taking firms listed on Tehran stock exchange.  A sample of 68 listed companies from Tehran stock exchange is examined for a period from 2001 to 2012.  The estimation is based on cross-sectional ordinary least square regression analysis to find the relationship between share price volatility and dividend poli...

We have introduced an early warning system for volatility regimes regarding Tehran Stock Exchange using Markov Switching GARCH approach. We have examined whether Tehran Stock Market has calmed down or more specifically, whether the surge in volatility during 2007-2010 global financial crises still affects stock return volatility in Iran.  Doing so, we have used a regime switching GARCH model.  ...

This paper investigates the nature of volatility characteristics of stock returns in the Bangladesh stock markets employing daily all share price index return data of Dhaka Stock Exchange (DSE) and Chittagong Stock Exchange (CSE) from 02 January 1993 to 27 January 2013 and 01 January 2004 to 20 August 2015 respectively.  Furthermore, the study explores the adequate volatility model for the stoc...

the emphasis of this paper is the role of volatility indices on improvement artificial neural networks (anns) forecasting models for the daily usd/eur and usd/gbp exchange rates two volatility indices are used. first; the realized volatility, which is based on intra-daily data, and second the garch volatility. they are applied into the model in two ways. firstly, the lagged volatility index is ...

in this paper, we have examined abrupt changes in volatility of tepix index in tehran stock exchange during august 23, 2010 to june 12, 2014. applying the iterated cumulative sum of squares (icss) algorithm proposed by inclan and tiao (1994) and the modified version of this algorithm consisting kappa 1 and kappa 2 test statistics developed by sansó et al. (2004), we have specified that the dete...