In this article, we employ the GARCH-DECO (1,1) to investigate empirically the dependence between Shanghai Composite (SSEC) and Austral African stock market indices. We utilize daily return indices over the period from January 4, 2006 to December 30, 2016. From the empirical findings, the...

In this paper, we examine empirically the day-of-the-week effect on the Tunisian stock exchange index (TUNINDEX) return and volatility. We use three multivariate general autoregressive conditional heteroscedasticity models (GARCH (1,1), EGARCH (1,1), and TGARCH (1,1)) to examine the presence of...

This paper examines the interaction between terrorism events and finance, focusing for the first time on the Damascus Securities Exchange Weighted Index return volatility of Syria besieged by terrorist attacks. To do so, we employ three multivariate GARCH models (GARCH (1,1), EGARCH (1,1) and...

In this study, we use for the first time the conditional heteroscedasticity specifications (GARCH, AGARCH, APARCH, Asymmetry MEM, MEM, EGARCH, GJR GARCH, and GAS-GARCH Student t models) to examine the volatility of exchange rate returns between the US Dollar and the Euro. So, the conditional...

Purpose - This paper aims to provide an important perspective to the predictive capacity of Organization of the Petroleum Exporting Countries (OPEC) meeting dates and production announcements for energy futures (crude oil West Texas Intermediate (WTI), gasoline reformulated gasoline blendstock...