El-Diftar, Doaa - In: Journal of capital markets studies 7 (2023) 2, pp. 125-139
generalized autoregressive conditional heteroskedasticity (GARCH (1,1)) regression models to fully investigate the impact of … exchange rate on stock markets. For further investigation, the GARCH (1,1) model is run twice for each country with and without … evidenced a significant negative impact. The results of the GARCH (1,1) add that the inclusion of exchange rate in the model …