GARCH models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models …

(GARCH), asymmetric power ARCH (APARCH), exponential generalized autoregressive conditional heteroscedstic (EGARCH …-of-sample volatility forecasting, AR(2)-GARCH(1, 1) is considered the best. …

examined using the ADF and PP approach, the stationary process, and order of the incorporated series. The ARCH and GARCH models …

mentioned, and various extensions of the standard GARCH model are highlighted. This includes the Exponential GARCH model …

. Second, change in time varying volatility and unconditional volatility is examined using GARCH (1, 1) model. Findings – The … bonus and rights issue announcements. Moreover, measuring volatility using GARCH model overcomes the potential problem of …

political turmoil of 2011. The analysis is based on employing both GARCH and EGARCH models. Daily closing prices of four …

periods. GARCH (1, 1) was deployed for investigating the possible eventualities of volatilities of stock markets. The findings …, almost for all countries GARCH (1, 1) yielded significant results confirming the existence of volatility of stock markets for …

and GARCH models with general t-distributed innovations. The results hold for joint estimation of (G)ARCH effects and the …