identified break periods for each index. Finally, an EGARCH model is estimated for the full sample and each break period … present in the EGX 100 because of the presence of periods exhibiting strong anti-persistence. The EGARCH parameters for the …

political turmoil of 2011. The analysis is based on employing both GARCH and EGARCH models. Daily closing prices of four … revolution which was shaped by extreme volatile fluctuations in stock returns. The EGARCH model was the method of choice for …

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