into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …

-persistence to occur in the multivariate linear GARCH model are presented. These conditions parallel the conditions for linear co …

conditional heteroskedasticity (GARCH) model is used to identify the magnitude and significance of mean and volatility spillovers … large number of significant innovation and volatility spillovers between the futures and spot markets indicates the presence … of strong ARCH and GARCH effects. Contrary to evidence from studies in North American electricity markets, the results …

Despite the fact that there is a substantial literature on the analysis of volatility spillovers between stock returns … and domestic exchange rates, surprisingly, little empirical research has examined volatility spillovers between oil prices …

facilities to transfer money back to their family in Bangladesh. In June 2007, the company went into liquidation owing nearly 2 … million pounds to the public, the majority of whom were from the Sylhet region of Bangladesh. …

This study analyzes the impact of stock market liberalization on emerging equity market volatility, in twelve emerging … for each market. The purpose of this study is three-fold. First, a univariate GARCH methodology is utilized to examine the … time-varying nature of conditional volatility following initial market opening. Second, we analyze the effect of …

valuation of the asset at any given time. However, most models for forecasting the return or volatility of assets completely … simple adaptation to the GARCH model to make the model aware of news. We propose that the content of news is important and … Australian markets which show that this model improves high frequency volatility forecasts. This is most evident for news which …