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Found 3 essays matching the above criteria.

1. 1. A Behavioural Explanation for Asymmetric Volatility Puzzle: Evidence from European Volatility Index.

   University essay from Uppsala universitet/Nationalekonomiska institutionen

   Author : Mohammad Aljaid; [2023]
   Keywords : ;

   Abstract : .... READ MORE

3. 2. Macroeconomic Announcements and Uncertainty Resolving : Empirical Evidence from the Eurozone

   University essay from Umeå universitet/Nationalekonomi

   Author : Mohammad Aljaid; [2021]
   Keywords : ;

   Abstract : Studying and identifying the impact of the macroeconomic news on the uncertainty, measured by the implied volatility index behavior in the European financial market, is the main goal of this study. The macroeconomic variables are regarded in this study are consumer price index CPI, the gross domestic product GDP, employment reports EMP, monetary policy MP, labor cost LC, and the current account for the Eurozone CA. READ MORE

4. 3. Implied Volatility and Historical Volatility : An Empirical Evidence About The Content of Information And Forecasting Power

   University essay from Umeå universitet/Företagsekonomi

   Author : Mohammad Aljaid; Mohammed Diaa Zakaria; [2020]
   Keywords : Implied Volatilty; Mincer–Zarnowitz regression; GARCHModel; Realized Volatility; Predictive Power.;

   Abstract : This study examines whether the implied volatility index can provide further information in forecasting volatility than historical volatility using GARCHfamily models. For this purpose, this researchhas been conducted to forecast volatility in two main markets the United States of America through its wildly used Standard and Poor’s 500 index and its correspondingvolatility index VIX and in Europe through its Euro Stoxx 50 and its correspondingvolatility index VSTOXX. READ MORE