Average (EGARCH-M-ARMA) models to analyze the spillover, asymmetric volatility, and leverage effects of financial exchange … negative asymmetric volatility, suggesting that the value of stock indices and ETFs reveal conditional heterokesdasticity …

This study attempts to analyze the effects of investor sentiment on volatility of nine stock markets, and capture the … France and Germany, stock market volatility is sensitive to negative shock in investor sentiment, supporting the existence of …, while policymakers can take steps to stabilize investor sentiment, thereby reducing stock market volatility and uncertainty. …