Purpose - This paper examines the extent to which exchange rate volatility (ERV) is crucial for small island economies. These economies by their very nature and size tend to be net importers and highly dependent on trade for their economic survival. The island of Mauritius is used as a case...

This study investigates the internal and external (spillover) characteristics of the volatility of the Turkish and Russian stock market indices. To this end, generalized autoregressive conditional heteroskedasticity models that are classified as short memory (GARCH, EGARCH, GJR-GARCH, APARCH)...

This paper introduces a novel model to analyse the impact of macroeconomic shocks on volatility spillovers within key financial markets, such as Stock, Bond, Gold and Crude Oil. By treating macroeconomic variables as external factors to financial market volatility, our study distinguishes...

This paper introduces an extended multivariate EGARCH model that overcomes the zero-return problem and allows for negative news and volatility spillover effects, making it an attractive tool for multivariate volatility modeling. Despite limitations, such as noninvertibility and unclear...