Table 4 summarizes the returns volatilities
of gold, exchange rate, and sectoral indices throughout the sample period.
We find that the average trade openness and financial account balance with volatilities
of domestic credit and investment have a significant effect on the growth volatility.
Taylor SJ, Yadav PK, Zhang Y (2010) The information content of implied volatilities
and model--free volatility expectations: evidence from options written on individual stocks.
The supply-side oil price shocks and the oil specific demand shocks do not seem to influence any of the sectors' realized or conditional volatilities
Looking at the earlier periods, we see rather stable volatilities
in 1980-92 in Belgium, Germany, Ireland, Austria and the UK, and also since 1986 for the Netherlands.
Typically, implied volatilities
rise in times of financial distress, and drop when markets boom.
However, parameters [Y.sub.1] and [Y.sub.4] indicate a long run influence on future volatilities
because of the persistence (4) of durations.
(20) Also, finance theory often implies specific conditional volatility distributions, and/ or conditional correlations, between the asset volatilities
and the volatility of the systematic risk factors.
The lower volatilities
reduced the magnitude of the stock price increases on the top branch.
Finucane, 1989, "Black-Scholes Approximations of Call Option Prices with Stochastic Volatilities
", Journal of Financial and Quantitative Analysis, 24:527-532
went up in the 1970s and have come down since.
The statistics in Table 2 indicate that the correlation between monthly returns, return volatilities
, and trading volume volatilities
in the two Exchanges are 0.552, 0.377, and 0.502 respectively over the entire sample period.