impact of inflation on stock market returns and volatility using monthly time series data from two West African countries … news exert more adverse effect on stock market volatility than good news of the same magnitude; while a strong opposite … stock market volatility in the two countries. Measures employed towards restraining inflation in the two countries …

This study examines the impact of inflation and output growth on stock market returns and volatility in selected Asian … (1, 1) model, it is found that macroeconomic volatility, which is measured by movement in inflation and output growth …, have a weak predictive power for stock market returns and volatility in these countries. The movements of the inflation …

This paper examines stock returns volatility in the Pakistani equity market. Using daily stock prices of 36 companies … equity market is the presence of conditional heteroscedasticity or volatility in stock returns and that even after … controlling for volatility the returns in the market are, in general, predictable. The results show GARCH(1,1) to be an …

is a model that will lead to better volatility forecasts. Secondly a long run relation between these markets was …

volatility of returns which have been considered at both sectorial and sub-sectorial levels during the period 1999-2008. Using …

There is quite an extensive literature documenting the behaviour of stock returns volatility in both developed and … emerging stock markets, but such studies are scanty for the Nigerian Stock Exchange (NSE). Modelling volatility is an important … of stock return volatility of the Nigerian Stock Exchange returns using GARCH (1,1) and the GJR-GARCH(1,1) models …

-GARCH models to capture time varying volatility and nonlinearity in petrol prices. ANN augmented versions of LSTAR-LST-GARCH models … models, except for the MLP-FIGARCH and MLP-FIAPGARCH models. iv. Volatility clustering, asymmetry and nonlinearity …

of bankruptcies. In this framework, we find that stock market volatility may damage the real economy if the stock market … is too relevant. In particular, an increase of volatility worsens the economic performance through the stock market …