Wednesday Research Seminar Series - The Distribution of Stock Market Volatility

We are pleased to invite you to our Wednesday Research Seminar. It will be held online on 9th October from 4pm via Microsoft Teams platform. Wednesday Research Seminar Series was launched in 2008 and has featured more than 350 presentations to date. The seminars provide a forum for researchers to share their work. Presenters include faculty from Middlesex University Dubai and other universities in the United Arab Emirates, as well as researchers from other global institutions. Faisal will deliver seminar on:   

“The Distribution of Stock Market Volatility”

Faisal Nazir Zargar

Abstract

Using intraday extreme prices data, we examine the distribution of daily stock market volatilities in a model-free environment. We find that the unconditional distributions of the volatility at the stock level are highly positively-skewed and fat-tailed. However, the unconditional distributions of logarithmic standard deviations afford a close to normal approximation, so do the distributions of returns standardized by realized standard deviations. A strong temporal dependence is observed in the volatilities, conforming volatility time-series to be a long-memory process. The study also reports the evidence of presence of excess volatility in the stocks and extends support in favor of leverage effect to explain the asymmetric return-volatility relation.

Presenter Bios

Dr. Faisal Nazir Zargar is a senior lecturer at Middlesex University Dubai. He holds a PhD in Finance from the Indian Institute of Management Kashipur, an MBA in Finance from Jamia Millia Islamia. He began his academic career as an Assistant Professor in Finance at the International Management Institute, New Delhi, and later joined BITS Pilani Dubai Campus, UAE, where he also served as the Deputy Head of the Department of Management Studies. His teaching and learning interests are diverse and include Corporate Finance, Financial & Management Accounting, Derivatives & Risk Management, Financial Analytics, and Financial Econometrics. His research interests include Volatility Modeling, Asset Pricing, Cryptoeconomics, Climate Finance, and GCC Stock Markets.