), its volatility as well as the asymmetric effects, for the period of 12th May 2009 to 12th June, 2015. The empirical …-of-theweek effect is influenced by the choice of the volatility model applied. Similarly, the highest or lowest volatility market day …

-variate GARCH-in-mean model and volatility spillovers. The empirical results show the significant effects (positive and negative …, respectively) of the stock market returns, interest rate, and exchange rate volatility of the financial sector during the crisis …. Besides, we find, in most cases, significant (positive and negative, respectively) volatility spillovers from market return …

This paper investigates the impact of exchange rate volatility on exports in Vietnam using quarterly data from the … testing approach to the analysis of level relationships between effective exchange rate volatility and exports. Using the … results show that exchange rate volatility negatively affects the export volume in the long run, as expected. A depreciation …

conditional volatility association of gold, crude oil and yield (or IR) on the ER (the price of US$ in Indian rupee). The daily … theories of market connectivity. The results are as expected (from the previous literature) for conditional volatility, whereas … findings regarding volatility spillover effects (VSE) and are surprising. The findings of the study imply the separation of …

) procedure was employed to investigate the impact volatility in the exchange rate market has on foreign trade in both long- and … short-term with data between 1980 and 2020. To compute volatility, it relied on the GARCH (1, 1) model which predicted the … conditional variances as proxy for volatility. Our empirical results are distinguished into export model and import model, and …