This paper presented the empirical results of the volatility transmission of overnight rate along the yield curve in … case of Pakistan. The results indicate that the volatility transmission of overnight repo rate is higher at the shorter end … underpinning of the interest rates volatility transmission process found in other countries. Moreover, the results also suggest …

The interaction of volatility between the financial markets and gold market is analyzed. The volatility of the price of … of the variables itself. Through these models we proved there is a relationship between the volatility of gold prices and …

the very same day), or dynamic/lagged (with one day lag). A GARCH (1,1) model of modelling volatility has been undertaken … volatility from one capital market to another. This study aims to understand the spillover effect between the US, the Japan … capital markets and Indian equity index (Sensex). We analyze whether the volatility spillover is contemporaneous (directly in …

The study of volatility transmission across markets commonly termed “volatility spillover” provides useful insights … international or regional diversification and market efficiency. In this paper, multivariate GARCH model was employed to investigate … volatility and information transmission across the Gulf Cooperation Council (GCC) markets. The model separates direct volatility …

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 …Non-linearity is the general characteristic of financial series. Thus, common non-linear models such as GARCH, EGARCH …

Modeling volatility during a financial crisis where massive shocks are generated presents an ideal environment for … investigating the dynamics of volatility during periods of extreme fluctuations for comparison with volatility during more tranquil … periods. The objective of this paper is to study volatility of daily stock returns listed on the Egyptian Exchange during the …

2013. In this analysis we employ daily values of five main indexes of Bucharest Stock Exchange. We use GARCH models to … reveal this seasonality not only on indexes returns but also on the capital market volatility. In order to identify the …

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 …

time variation of stock return volatility (GARCH). In the long-term, our results suggest that the US defense firms only …