This study analyzes the volatility spillover effects in the US stock market (S&P500) and cryptocurrency market (BGCI) using intraday data during the COVID-19 pandemic. As the potential drivers of portfolio diversification, we measure the asymmetric volatility transmission on both markets. We...

This study analyzes the volatility spillover effects in the US stock market (S&P500) and cryptocurrency market (BGCI) using intraday data during the COVID-19 pandemic. As the potential drivers of portfolio diversification, we measure the asymmetric volatility transmission on both markets. We...

The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China, Jakarta, and Korea using a six-variable asymmetric generalized autoregressive conditional heteroscedasticity–Baba, Engle, Kraft, and Kroner (GARCH-BEKK) model during February 2,...

The primary goal of satellite navigation system is to provide precise positioning, navigation and timing (PNT) information. World is going to envisage a vital multi constellation global navigation satellite system (GNSS) due to intense changes in satellite navigation technologies. Inception of...

The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China, Jakarta, and Korea using a six-variable asymmetric generalized autoregressive conditional heteroscedasticity–Baba, Engle, Kraft, and Kroner (GARCH-BEKK) model during February 2,...

The study uses three different models: GARCH(1,1), EGARCH(1,1) and GJR-GARCH(1,1) to analyze volatility of Nifty of National Stock Exchange (NSE) of India from January 1, 2010 to July 4, 2014. The results reveal persistence of volatility andthe presence of leverage effect implying impact of good...

The study examines the impact of Global Financial Crisis of 2007 onwards on volatility behavior of Asian stock markets using GARCH and TARCH models. The study uses daily closing price data of stock arkets of India, China, Hong Kong, Malaysia, Japan, Indonesia and Korea. The results reveal that...

The study investigated the stock market volatility in the emerging stock markets of India and China using daily closing price from 1st January, 2005 to 12th May, 2009. The results detect the presence of non-linearity through BDSL test while conditional Heteroscedasticity is identified through...

The study investigates volatility in the stock markets of India and Canada using daily closing price data for the period from January 2002 to July 2009. Various volatility and diagnostic tests suggest certain stylized facts about volatility like volatility clustering and mean reverting behavior....