References: Aizenman‚ Joshua and Nancy Marion (1999). “Volatility and investment ’ ’. Economica 66(262). Alesina‚ Alberto‚ Sule Ozler‚ Nouriel Roubini and Philip Swagel (1996). “Political instability and economic growth” Barro‚ Robert and Xavier Sala-i-Martin (1995). Economic growth. New York: McGraw-Hill. Barro
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examined the impact of exchange rate volatility on trade flow in Nigeria. Using annual data for the period of 1970-2009‚ their study estimates the exchange rate volatility with the use of GARCH Model. Results revealed that an inverse and statistical insignificant relationship exist between aggregate trade and exchange rate volatility in Nigeria. Results also revealed that income has a great role to play on trade flow in the country while the exchange rate volatility which is the main variable in the
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The Empirical Relationship between Trading Volumes & Stock Return Volatility in Indian Stock Market Naliniprava Tripathy Associate Professor (Finance)‚ Indian Institute of Management Shillong Meghalaya‚ India‚ PIN 793 014 E-mail: nalini_prava@yahoo.co.in/ nt@iimshillong.in Tel: +91-364-2308037‚ Fax: +91-364-2230041 Abstract This study investigates the empirical relationship between trading volume and stock returns volatility in Indian stock Market during the period from January 2005 to January
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bonds‚ usually by a substantial margin. Since the mid-20th century‚ however‚ the situation has radically changed. In addressing this situation‚ I argue that the difference between stock yields and bond yields is driven by the long-run difference in volatility between stocks and bonds. This model fits 1871–1998 data extremely well. Moreover‚ it explains the currently low stock market dividend and earnings yields. Many authors have found that although both stock yields forecast stock returns‚ they generally
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BIS WORKING PAPERS No 93 – October 2000 TRADING VOLUMES‚ VOLATILITY AND SPREADS IN FOREIGN EXCHANGE MARKETS: EVIDENCE FROM EMERGING MARKET COUNTRIES by Gabriele Galati BANK FOR INTERNATIONAL SETTLEMENTS Monetary and Economic Department Basel‚ Switzerland BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements‚ and from time to time by other economists‚ and are published by the Bank. The papers are on subjects of topical
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BSM to a standard forward diffusion equation over an infinite domain. Another assumption used in the BSM is that volatility is known and constant. However‚ if the company that issued the CB is young‚ such volatility data might not be readily available and reliance on historical volatility may not be appropriate in real world applications. Also‚ as shown in Fig 1 above‚ implied volatility is not constant and can vary greatly even in one day. Conclusion When the BSM was developed in 1973‚ there were
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A. Fischer SS 2011 Lecture 12: ARCH and GARCH Models 1 2 3 Models of Changing Volatility 12.2 Let‚ the innovation‚ ηt+1 ‚ in an asset return be defined as having mean 2 zero and conditional on time t information. We define σt to be the time t 2 conditional variance of ηt+1 or the conditional expectation of ηt+1 . We assume the conditional on time t information‚ the innovation is normally distributed: 2 ηt+1 ∼ N (0‚ σt ) (1) The unconditional variance of the innovation‚ σ 2
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Question3: generate the spot rates using a term structure We choose to use the Ho-Lee model. First step‚ we use the spot rate calculated in Q2 to get the risk-free bond’s market prices .Then‚ we calculate the volatility by using the spot rates in 1995(sheet volatility)‚ and use it as the volatility today. As the teacher showed us‚ we firstly try a set of theta in order to generate an binominal tree‚ then we get the risk-free bonds’ model prices. With the help of Excel‚ we minimize the sum of squares
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Foreign Exchange Intervention | Links | References | | | What is Foreign Exchange Intervention? Definition and the Legal Status of Intervention Foreign exchange intervention is defined generally as foreign exchange transactions conducted by the monetary authorities with the aim of influencing exchange rates. It is the process by which the monetary authorities attempt to influence market conditions and/or the value of the home currency on the foreign exchange market. Intervention usually aims
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correct manner and did not consider emerging markets’ development stage (Hooper‚ 2002). There are several impacts of the implementation of Washington Consensus upon the emerging capital markets namely worsen economic growth and increase stock market’s volatility. Implementation of the Washington Consensus through financial liberalization has affected economic growth of emerging capital markets. Financial liberalization is developed in the objective of improving economic growth
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