Search Results - subject:"Volatility persistence"

Foreign exchange news announcements and the volatility of stock returns in Nigeria

Omokehinde, Joshua Odutola; Abata, Matthew Adeolu; … - In: Spoudai : journal of economics and business 67 (2017) 3, pp. 3-17

of ARCH and GARCH coefficients (α + β = 0.9) is approximately close to unity – indicating strong evidence of volatility … persistence in the Nigerian stock market. …

Persistent link: https://www.econbiz.de/10011843827

Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies

Dedi, Lidija; Yavas, Burhan F. - In: Cogent Economics & Finance 4 (2016) 1, pp. 1-18

This paper investigates linkages among equity market returns and volatility spillovers in the following countries: Germany, United Kingdom, China, Russia, and Turkey. MARMA, GARCH, GARCH-in-mean, and exponential GARCH (EGARCH) methodologies are applied to daily data on country exchange-traded...

Persistent link: https://www.econbiz.de/10011988707

On the statistical properties of multiplicative GARCH models

Conrad, Christian; Kleen, Onno - 2016

We examine the statistical properties of multiplicative GARCH models. First, we show that in multiplicative models, returns have higher kurtosis and squared returns have a more persistent autocorrelation function than in the nested GARCH model. Second, we extend the results of Andersen and...

Persistent link: https://www.econbiz.de/10011688279

On the statistical properties of multiplicative GARCH models

Conrad, Christian; Kleen, Onno - 2016

Persistent link: https://www.econbiz.de/10011453119

Exploration of the foreign exchange forward premiums and the spot exchange return : a multivariate approach

Hamzaoui, Nessrine; Regaieg, Boutheina - In: International journal of economics and financial issues … 6 (2016) 2, pp. 694-702

Persistent link: https://www.econbiz.de/10011697286

Market interactions in gold and stock markets : evidences from Saudi Arabia

Afsal, E. M.; Haque, Mohammad Imdadul - In: International journal of economics and financial issues … 6 (2016) 3, pp. 1025-1034

Persistent link: https://www.econbiz.de/10011697567

The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic approach to investigating the foreign exchange forward premium volatility

Hamzaoui, Nessrine; Regaieg, Boutheina - In: International journal of economics and financial issues … 6 (2016) 4, pp. 1608-1615

Persistent link: https://www.econbiz.de/10011775273

Return and volatility spillovers in equity markets : an investigation using various GARCH methodologies

Dedi, Lidija; Yavas, Burhan F. - In: Cogent economics & finance 4 (2016) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10011597965

Conditional volatility persistence and realized volatility asymmetry : evidence from the Chinese stock markets

Su, Fei; Wang, Lei - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 14, pp. 3252-3269

Persistent link: https://www.econbiz.de/10012312730

A Generalized Autoregressive Conditional Heteroskedasticity Examination of the Relationship between Trading Volume and Conditional Volatility in the Tunisian Stock Market: Evidence for the Information Flow Paradigm

Belhaj, Fethi; Abaoub, Ezzeddine - In: International Journal of Economics and Financial Issues 5 (2015) 2, pp. 354-364

arrival hypothesis (SIAH). Through this study, we especially aim to test the volatility persistence degree without volume … reduces volatility persistence. Thirdly, through the addition of the lagged volume in the conditional variance equation, we … show that volatility persistence remains in the whole at a high level and close to that obtained from the GARCH (1,1) model …

Persistent link: https://www.econbiz.de/10011268784