scholarly journals How Wacky is the DAX? The Changing Structure of German Stock Market Volatility

2003 ◽  
Author(s):  
Jelena Stapf ◽  
Thomas Werner
Keyword(s):  
Stock Market ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
German Stock ◽  
German Stock Market

scholarly journals Stock Market Volatility Measure Using Non-Traditional Tool Case of Germany

2018 ◽  
Vol 32 (1) ◽  
pp. 126-135 ◽  
Author(s):  
Naeem Ahmed ◽  
Mudassira Sarfraz
Keyword(s):  
Stock Market ◽  
Market Volatility ◽  
Stock Index ◽  
Bench Mark ◽  
Stock Market Volatility ◽  
Time Period ◽  
German Stock ◽  
Cyclical Trend ◽  
German Stock Market ◽  
Sample Time

Abstract. This study examines the stock market volatility of German bench-mark stock index DAX 30 using logarithmic extreme day return. German stock markets have been analyzed extensively in literature. We look into volatility issue from the standpoint of extreme-day changes. Our analysis indicates the non-normality of German stock market and higher probability of negative trading days. We measure the occurrences of extreme-day returns and their significance in measuring annual volatility. Our time series analysis indicates that the occurrences of extreme-days show a cyclical trend over the sample time period. Our comparison of negative and positive extreme-days indicates that negative extreme-days overweigh the positive extreme days. Standard deviation, as measure of volatility used traditionally, gives altered ranks of annual volatility to a considerable extent as compared to extreme-day returns. Lastly, existence of extreme day returns can be explained by past period occurrences, which show predictability.

scholarly journals Volatility Modeling: An Overview of Equity Markets in the Euro Area during COVID-19 Pandemic

Mathematics ◽  
2021 ◽  
Vol 9 (11) ◽  
pp. 1212
Author(s):  
Pierdomenico Duttilo ◽  
Stefano Antonio Gattone ◽  
Tonio Di Di Battista
Keyword(s):  
Stock Market ◽  
Euro Area ◽  
Risk Premium ◽  
Stock Markets ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Volatility Modeling ◽  
The Impact ◽  
Second Wave ◽  
Daily Returns

Volatility is the most widespread measure of risk. Volatility modeling allows investors to capture potential losses and investment opportunities. This work aims to examine the impact of the two waves of COVID-19 infections on the return and volatility of the stock market indices of the euro area countries. The study also focuses on other important aspects such as time-varying risk premium and leverage effect. This investigation employed the Threshold GARCH(1,1)-in-Mean model with exogenous dummy variables. Daily returns of the euro area stock markets indices from 4th January 2016 to 31st December 2020 has been used for the analysis. The results reveal that euro area stock markets respond differently to the COVID-19 pandemic. Specifically, the first wave of COVID-19 infections had a notable impact on stock market volatility of euro area countries with middle-large financial centres while the second wave had a significant impact only on stock market volatility of Belgium.

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