The study examines returns spillover, shock, and volatility transmission between Nigeria and selected global stock … benefit from diversification into Nigeria and Japan markets. Except for China and Hong Kong, volatility is relatively more …

This paper employs a bivariate BEKK-GARCH(1,1) model to examine shock and volatility spillovers between crude oil and … equity sector returns. In the market level, there are unilateral spillovers of shock and volatility from oil price to stock … market return. The findings in this paper are crucial for financial market participation to understand shock and volatility …

conditional volatility and strongly support the estimation of dynamic returns that allow for time-varying correlations. A …This study examines the statistical properties required to model the dynamics of both the returns and volatility series … adequately estimate long-memory dynamics in returns and volatility. The in-sample diagnostic tests as well as out …

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

volatility over the benchmark rational expectations case and exactly matches the standard deviation of consumption. Finally, the … model generates time varying volatility consistent with the data on quarterly equity returns …

In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …

This paper provides an empirical analysis of volatility time structures in agricultural markets (sugar, wheat, soybeans … interesting for both researches and policy makers. In order to investigate the behaviour of agricultural market’s volatility after … a shock, I calculated the volatility impulse response function based on a VAR(1) BEKK(1,1)-in-mean model. The result …