This paper explores the influence of the foreign exchange rates variation on the returns and volatility of the stock … sub-samples corresponding to different stages of the Romanian financial markets evolution. The GARCH models employed in … influenced not only the stock returns but also their volatility. However, between March 2010 and December 2012 the impact of the …

, almost for all countries GARCH (1, 1) yielded significant results confirming the existence of volatility of stock markets for … are among the ones undertaken in this study. The rationale behind this study is to ascertain the volatility in stock … periods. GARCH (1, 1) was deployed for investigating the possible eventualities of volatilities of stock markets. The findings …

This paper is focused on the historical development of selected exchange rates' volatility, that is: AUD, CAD, DEM, DKK …' volatility is nothing special in the historical context considering the lenght and the extent. …

GARCH (1,1). The result showing us that there is one way volatility spillover between Indonesia and USA (USA effecting … that condition, volatility in domestic capital market could be affected by volatility from global stock markets. That … concern will be answered in this research, about volatility spillover in Indonesia, USA, and Japan capital market. This …

The volatility clustering often seen in financial data has increased the interest of researchers in applying good … models to measure and forecast stock returns. This paper aims to model the volatility for daily and weekly returns of the … Portuguese Stock Index PSI-20. By using simple GARCH, GARCH-M, Exponential GARCH (EGARCH) and Threshold ARCH (TARCH) models, we …

autoregressive conditional heteroskedasticity (GARCH) model. Trend and volatility are estimated jointly with the maximum likelihood … estimation. There is long persistence in the variance of oil price shocks, and a GARCH unit root (GUR) test can potentially yield …

, listed on NSE for the period August 2005 to May 2008. Using Hoadley Options, volatility modeled by GARCH (1, 1) is estimated …-run volatility in the spot market increases; Paudyal et al. (2005). Harris (1989) finds that increased volatility in the spot market …. Considering both volume and volatility, mixed evidences are witnessed. Futures introduction has some stabilizing effect on large …

volatility of the past nine weeks with that of the following nine weeks, estimation error ranges from four to over ten percentage …