This study investigates the role of oil futures price information on forecasting the US stock market volatility using the HAR framework. In-sample results indicate that oil futures intraday information is helpful to increase the predictability. Moreover, compared to the benchmark model, the...

This study aimed to model and forecast the volatility of returns for selected agricultural commodities prices using generalized autoregressive conditional heteroskedasticity GARCH models in Ethiopia. GARCH family models, specifically GARCH, threshold generalized autoregressive conditional...

This study examines the information flow between inflation and inflation uncertainty (IU) and intrastate inflationary trend among some ECOWAS member states. IU is measured using GARCH models and stochastic volatility model (SV). Transfer en- tropy was adopted to quantify the extent of...

This study compares the size and power of autoregressive conditional heteroskedasticity (ARCH) tests that are robust to the presence of a misspecified conditional mean. The approaches employed are based on two nonparametric regressions for the conditional mean: an ARCH test with a...

This paper is intended to find out whether macroeconomic variables may impact on stock market as well aswhether such impact has any country specific pattern. Stock market return was taken as dependent variable andreal interest rate, inflation rate, GDP growth rate, foreign currency reserve...