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 …

This study investigates the relationship between trading volume and returns and volatility of Pakistani market for the … period of July 1998 to October 2008. The Dickey-Fuller test is applied to turn the time series stationary. The ARCH and GARCH …-M models are used to test the return, volatility and volume relationship. The results indicate that there is evidence of first …

Information Arrival Hypothesis (SIAH). The level of volatility persistence also compared. Finally, GARCH in mean extension has …The objective of this article is to investigate the volatility asymmetry, volatility-volume relationship by considering …, 1997 to May 30, 2013 for S&P CNX Nifty are used for the empirical analysis. First, we employ GARCH, EGARCH and GJR-GARCH …

Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange … during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with … the US markets. Further examination of this phenomenon reveals that the positive impact of good news on volatility is …

nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH … volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

the strong leverage effect indicating completely different specification of volatility regimes by the MS-GJR-GARCH model. … the behaviour of returns and their volatility during both the calm as well as various crises/turmoil periods. Besides the … traditional GARCH-type models (GARCH and GJR-GARCH) the two-regime Markov Switching GARCHtype models (MS-GARCH and MS-GJR-GARCH …

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 …