Sentence examples for volatility between the two from inspiring English sources

The transmission of volatility between the two markets has been found asymmetric in nature.

Kanas (2000) made an attempt to explore the developed equity countries i.e. France, Germany, US, Japan, Canada and UK for transmission of volatility between the two markets.

The analyses also show evidence of significant bidirectional spillover of volatility between the two financial markets (stock market and foreign exchange market) for China.

In this study, EGARCH (Exponential Generalized Auto Regressive Conditional Heteroskedasticity) approach was applied to investigate the asymmetric spillover of volatility between the two financial markets.

Morales (2008) empirically studied Six Latin American countries; Venezuela, Argentina, Mexico, Brazil, Colombia and Spain with a European country and found no clear evidence of flow of volatility between the two financial markets.

The bidirectional flow of volatility between the two financial markets has been reported by following studies, see (Aloui 2007; Andreou et al. 2013; Chkili 2012; Choi et al. 2010; Francis et al. 2006; Mishra et al. 2007; Qayyum and Kamal 2006; Xiong and Han 2015).

The literature can be divided into three aspects; First, those studies that reveals bidirectional volatility spillover between the two markets; Second, those studies which found unidirectional flow of volatility either from stock to foreign exchange market or from foreign exchange market to stock market; Third, those studies which reported no volatility spillover between the two markets.

This is done in order to capture daily volatility spillover between the two markets.

The analysis reveals no evidence of volatility transmission between the two markets in reference to Japan.

Therefore, EGARCH model is selected in order to capture asymmetric volatility spillover between the two markets.

The analyses reveal no volatility spillover between the two financial markets in case of Japan.