An analysis of the Swedish Stock Market Volatility with realized volatility, implied volatility and conditional times series models
This study examines the response of the volatility in the Swedish stock market to positive and negative surprise return shocks. The study also explores the behaviour of the volatility following near-zero return shocks. To the author’s knowledge, this is the first study analysing the Swedish stock market volatility using two asymmetric econometric time series models, EGARCH and the GJR model, impli
