This article investigates the presence of conditional heteroskedasticity in time series of US stock market returns, and the asymmetric effect of good and bad news on volatility. Further, the study also analyzes the relationship between stock returns and conditional volatility, and standard...

This article investigates the asymmetric nature of US stock market return and effect of heteroskedasticity on stock return volatility. Further, this study also analyzes the relationship between stock returns and conditional volatility, and standard residuals. The monthly opening and closing...