Ramadan, the holy month for the Muslims, with the market return, volatility and trade volume in the of DSE. Applying GJR-GARCH … stock market return and volatility. However, Ramadan has a significant negative impact on the daily trade volume of DSE …

relationship between KSE and G5 equity markets. The volatility spillover has been analyzed by GARCH (generalized autoregressive …. The GARCH (1, 1) model reveals significant volatility spillover effect from all G5 equity markets to KSE. Based on …This study made a pioneering attempt to investigate volatility spillover from G5 countries stock markets to Karachi …

This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using … the best fitting model among SGARCH, EGARCH and GJR-GARCH. In a bid to account for the dynamic and persistent nature of …

This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using … the best fitting model among SGARCH, EGARCH and GJR-GARCH. In a bid to account for the dynamic and persistent nature of …

This paper examines the behavior of seasonal anomalies in Dhaka Stock Exchange (DSE) of Bangladesh and whether the time … index values of DSE from 1993 to 2018, with GARCH (1,1) model, Markov switching model, subsample analysis and rolling window …

Stock Exchange (DSE) of Bangladesh. To investigate the time-varying pattern of momentum/contrarian anomaly, the study uses …

Modelling volatility has become increasingly important in recent times for its diverse implications. The main purpose … of this paper is to examine the performance of volatility modelling using different models and their forecasting accuracy … Autoregressive Conditional Heteroscedastic (GARCH), Asymmetric Power Autoregressive Conditional Heteroscedastic (APARCH), Exponential …