Premaratne, Gamini; Bala, Lakshmi - Econometric Society - 2004
investigate volatility co-movement between the Singapore stock market and the markets of US, UK, Hong Kong and Japan. In order to … gauge volatility comovement, we employ econometric models of (i) Univariate GARCH (ii) Vector Autoregression and (iii) a … degree of volatility co-movement between Singapore stock market and that of Hong Kong, US, Japan and UK (in that order …