Stock price volatility: Some evidence from an ARCH model

Index futures and options and stock market volatility

“…It can, therefore, be concluded that the introduction of index futures and options has had no incremental impact on volatility. This conclusion is in agreement with studies that deal with the U.S. stock market [e.g., Miller (1993), Baldauf and Santoni (1991) and Edwards (1988aEdwards ( , 1988b], and is in contrast to the findings of Antoniou and Holmes (1995) for the U.K. market, and Lee and Ohk (1992) for an international portfolio composed of five national indices.…”

“…2 The huge losses of Procter and Gamble, Orange County Metallgesellschaft, and Barrings, in deals involving derivatives, have created a great deal of controversy [e.g., Miller (1995) and Kuprianov (1995) increases in volatility were documented, however, during the simultaneous expiration of index futures and index options contracts, the so-called triple witching days. Other studies that find no significant changes in index return volatility following the introduction of futures include Kamara, Miller, and Siegel (1992), Baldauf and Santoni (1991), Becketti and Roberts (1990), Fortune (1989), and Darrat and Rahman (1995). 3 Several studies, however, reach the exact opposite conclusion.…”

“…It follows closely Lee and Ohk (1992), Antoniou and Holmes (1995), and Baldauf and Santoni (1991) who model the well-known tendency of stock returns to exhibit volatility clustering (i.e., conditional heteroskedasticity) by using linear-ARCH type models, and tests for changes in both conditional and unconditional variances. Despite the similarities with the aforementioned studies, however, this article differs in several important ways.…”

“…So far most empirical studies have examined the impact of index futures and index options in a static framework, that is, by simply testing whether the unconditional variance rose subsequent to the introduction of index futures contracts [exceptions are the studies of Lee and Ohk (1992), Antoniou and Holmes (1995), and Baldauf and Santoni (1991)]. An extensive body of literature, however, has shown that individual and index stock returns are conditionally het-3 Studies that deal with the impact of futures trading in other markets include Figlewski (1981), Corgel and Gay (1984), Simpson and Ireland (1982) and Bhattacharya, Ramjee, and Ramjee (1986) for GNMA futures, and Powers (1970) for commodities futures.…”

Speech Recognition Using Dynamic Grammar and Parallel Listening Events

“…The proposed system compares the word in the dictionary along with grammar and finds the probability of occurrence; more probability has more chance to be a fit candidate for the output as a recognized word [5]. Now if there is more than one listener at a time, the accuracy level of recognition goes high.…”