, there have been no studies which have used the GARCH methodology to study export volatility. This paper fills the void. It …

heteroscedasticity (GARCH) measure of real exchange rate volatility, the findings show that exchange rate volatility depresses exports in …

by ARCH models. The volatility is measured by a linear GARCH and an EGARCH process. Our results suggests that EGARCH … provides better estimates than a linear standard GARCH model. The EGARCH also can capture most of the asymmetry, supporting the …

Non-linearity is the general characteristic of financial series. Thus, common non-linear models such as GARCH, EGARCH … and TGARCH are used to obtain the volatility of data. in addition , continuous time GARCH (COGARCH) model that is the … extansion and analogue of the discrete time GARCH process, is the new approach for volatility and derivative pricing. COGARCH …

political turmoil of 2011. The analysis is based on employing both GARCH and EGARCH models. Daily closing prices of four …

We tested different GARCH models in modeling the volatility of stock returns in London Stock Exchange. The monthly … 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 …

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