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Dynamic volatility behaviour of stock markets in southern Africa
Mashamba, Tafirei; Magweva, Rabson - In: Journal of economic and financial sciences : JEF 12 (2019) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10012019002
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Equity return volatility in Africa's stock markets : a dynamic panel approach
Aawaar, Godfred; Logogye, Louis; Domeher, Daniel - In: Cogent economics & finance 11 (2023) 2, pp. 1-14
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 …
Persistent link: https://www.econbiz.de/10014501248
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Equity return volatility in Africa's stock markets : a dynamic panel approach
Aawaar, Godfred; Logogye, Louis; Domeher, Daniel - In: Cogent economics & finance 11 (2023) 2, pp. 1-22
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 …
Persistent link: https://www.econbiz.de/10014501255
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Market shocks and stock volatility : evidence from emerging and developed markets
Tabash, Mosab I.; Chalissery, Neenu; Nishad, T. Mohamed; … - In: International Journal of Financial Studies : open … 12 (2024) 1, pp. 1-18
volatility in selected developed and emerging markets between the 2008 financial crisis and the 2019 worldwide pandemic. In this …-2009 and the global pandemic period of 2019-2021-were chosen. By using univariate GARCH models, namely GARCH, EGARCH, and …
Persistent link: https://www.econbiz.de/10014501165
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Abrupt changes in volatility : evidence from TEPIX Index in Tehran stock exchange
Araghi, Mansour Khalili; Ghazani, Majid Mirzaee - In: Iranian economic review : journal of University of Tehran 19 (2015) 3, pp. 377-393
Persistent link: https://www.econbiz.de/10011456700
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Gold, oil, and stocks : dynamic correlations
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Persistent link: https://www.econbiz.de/10010515402
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Volatility spillovers among global stock markets : measuring total and directional effects
Gamba-Santamaria, Santiago; Gómez González, José Eduardo - 2017
Persistent link: https://www.econbiz.de/10011650412
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Networks of volatility spillovers among stock markets
Baumöhl, Eduard; Kočenda, Evžen; Lyócsa, Štefan; … - 2017
volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by … between markets and somewhat weaker temporal effects with regard to the US equity market - volatility spillovers decrease when … markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of …
Persistent link: https://www.econbiz.de/10011654569
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Sensitivity, persistence and asymmetric effects in international stock market volatility during the global financial crisis
Gabriel, Vitor - In: Revista de métodos cuantitativos para la economía y … 19 (2015), pp. 42-65
Financial market volatility is an important element when setting up port- folio management strategies, option pricing … the period of October 1999 to June 2011 are studied using basic GARCH type models. The data were then di- vided into three … bigger impact on stock market volatility, namely at sensitivity, persistence and asymmetric effects. …
Persistent link: https://www.econbiz.de/10011306093
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Stock-Bond Return Dynamic Correlation and Macroeconomic Announcements : Time-Scale Analysis and the Effects of Financial Crises
Al Rababa'a, Abdel Razzaq - 2018
model specifications, volatility effects and other robustness considerations continue to support our results. These results …
Persistent link: https://www.econbiz.de/10012919223