scholarly journals Empirical Analysis of Stock Market Volatility using Implied volatility as a variable to GARCH Models

2018 ◽  
Vol 16 (Spl1) ◽  
pp. 1
Author(s):  
Himani Arya ◽  
Dinesh K Sharma
Keyword(s):  
Stock Market ◽  
Empirical Analysis ◽  
Implied Volatility ◽  
Market Volatility ◽  
Garch Models ◽  
Stock Market Volatility

scholarly journals Estimating stock market volatility using asymmetric GARCH models

2008 ◽  
Vol 18 (15) ◽  
pp. 1201-1208 ◽  
Author(s):  
Dima Alberg ◽  
Haim Shalit ◽  
Rami Yosef
Keyword(s):  
Stock Market ◽  
Market Volatility ◽  
Garch Models ◽  
Stock Market Volatility ◽  
Asymmetric Garch

scholarly journals Modeling Stock Market Volatility Using GARCH Models: A Case Study of Nairobi Securities Exchange (NSE)

2017 ◽  
Vol 07 (02) ◽  
pp. 369-381
Author(s):  
Arfa Maqsood ◽  
Suboohi Safdar ◽  
Rafia Shafi ◽  
Ntato Jeremiah Lelit
Keyword(s):  
Stock Market ◽  
Market Volatility ◽  
Garch Models ◽  
Stock Market Volatility

scholarly journals Uncertainty Shocks as Second-Moment News Shocks

2019 ◽  
Vol 87 (1) ◽  
pp. 40-76 ◽  
Author(s):  
David Berger ◽  
Ian Dew-Becker ◽  
Stefano Giglio
Keyword(s):  
Stock Market ◽  
Implied Volatility ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
News Shocks ◽  
Second Moment ◽  
Uncertainty Shocks ◽  
Aggregate Uncertainty ◽  
The Future ◽  
The Relationship

AbstractWe provide evidence on the relationship between aggregate uncertainty and the macroeconomy. Identifying uncertainty shocks using methods from the news shocks literature, the analysis finds that innovations in realized stock market volatility are robustly followed by contractions, while shocks to forward-looking uncertainty have no significant effect on the economy. Moreover, investors have historically paid large premia to hedge shocks to realized but not implied volatility. A model in which fundamental shocks are skewed left can match those facts. Aggregate volatility matters, but it is the realization of volatility, rather than uncertainty about the future, that has been associated with declines.

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