into twelve different sectors. Volatility is modeled using GARCH, EGARCH and TGARCH in order to examine the temporal …

technique employed includes Engle Granger two step procedure and the bivariate EGARCH method. The results indicate that any …

We develop a comparative study using the TARCH and EGARCH non-linear econometric models. We use them to describe …)-EGARCH(1,1) model describes properly the aggregated returns of the stock market (measured by the IPC). They also show that … the AR(1)-TGARCH(1,1) and AR(1)-EGARCH(1,1) models fit 19 and 11 stock return series, respectively. Finally, the results …

returns of FTSE All Share Index during the period of February 1965 and October 2002 and GARCH, TGARCH, EGARCH, and AGARCH …

the GARCH by developed Engle and Bollerslev (1986) and EGARCH by Nelson (1991) methodologies, the paper empirically …

EGARCH models, this work shows that expansive monetary policies may influence stock market indexes much more than restrictive …

Portuguese Stock Index PSI-20. By using simple GARCH, GARCH-M, Exponential GARCH (EGARCH) and Threshold ARCH (TARCH) models, we …

EGARCH model on the other hand suggest that both sales and purchases of $ cause the exchange rate to appreciate. The results …

EGARCH models, for further analysis of asymmetry and leverage effects, we developed news impact curves proposed by Pagan and … for Pakistani data. We get two important results. First, GJR-GARCH and EGARCH models are more successful in capturing …