volatility

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volatility

A measure of the ease with which a substance forms a vapor at ordinary temperatures. See Vapor pressure.
References in periodicals archive ?
The volatilities pattern in the pre-Asian crisis may be due to the investor 's predictive reactions.
Both using historical actual price movements or option implied volatilities, volatility seems to be about across exercise prices.
and Lastrapes, W., Forecasting Stock-return Variance toward an understanding of Stochastic implied volatilities, Review of Financial Studies (6: 1993)
On the other hand, dynamic panel estimates suggest that an increase in the volatilities of trade openness and investment leads to a statistically significant rise in the output growth volatility.
The volatility smirk is estimated as the difference between the implied volatilities of OTM puts and ATM calls.
The average returns are nearly identical suggesting that the three- factor and eight-factor volatility estimates are mostly identical in rank-ordering stocks (e.g., the stocks with the highest three-factor volatilities also have the highest eight-factor volatilities).
returns and volatilities), whereas demand-side shocks--and in particular the aggregate demand oil price shocks--do.
Belgium, Denmark, France, the Netherlands, Austria and even Portugal have lower average conditional volatilities. This is likely to reflect the differing patterns of trade, where these countries' trade is focused on Germany and each other, while German trade is relatively more focused on the rest of the world.
We obtained their volatilities by calculating their deviations from long-run trends.
This allows us to not only examine the direct impact of the respective volatility estimates but also assess whether there is an indirect influence of these volatilities through their interaction with each other.
Based on a weighted average of implied volatilities of the S&P100 Index call and put options, the VIX was designed to be a measure of broad market volatility.
Our first aim in this paper is to develop an empirical application of ACD-GARCH models in forecasting future volatilities. Our second contribution consists in comparing the performance of ACD-GARCH models to a new and simple way of modeling financial market volatility using high-frequency data recently developed by Bollerslev and Wright (2001): the integrated volatility or recently called, the realized volatility (Barndorff-Nielsen and Shephard 2002a; Andersen et al.