One of the most important duties of financial economy is modeling and forecasting the volatilities of price of risky assets. From analysts and policy makers’ view, price volatility is a key variable contributing to perception of market volatilities. Therefore, analysts need to have an appropriate of forecast of price volatility as a necessary input to perform duties such as risk management, por...

the price volatility spillover effect indicates that price volatility in different markets can be mutually affected. the objective of the study is to analyze volatility price spillover effects on the vertical levels including input, wholesale and retail sale levels in the tehran beef supply chain. the multivariate generalized autoregressive conditional heteroskedastic (mvgarch) model was used b...

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...

In this paper we analyze the manner in which the demand generated by dynamic hedging strategies aaects the equilibrium price of the underlying asset. We derive an explicit expression for the transformation of market volatility under the impact of such strategies. It turns out that volatility increases and becomes time and price dependent. The strength of these eeects however depends not only on...

This paper develops a dynamic model of trading with asymmetrically informed traders engaging in (and/or a priori experiencing) information sharing about the long-term value of an asset. We show that in the presence of information sharing, the equilibrium price process is affected by the amount of information shared; trading activity and price volatility both cluster at the end of the trading pe...