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 …

, there have been no studies which have used the GARCH methodology to study export volatility. This paper fills the void. It …There have been numerous studies on the relationship between volatility of exports and economic growth. Most of these … uses quarterly data for the Philippines and Thailand to study the effects of export volatility. We find that for both …

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 …

, 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 …

Pakistan. This paper utilizes Generalized Auto Regressive Conditional Hetroskedasticity (GARCH) model to estimate volatility in …This study analyzes the impact of volatility in government borrowing from central bank (GBCB) on domestic inflation in …) with bound testing technique suggest that domestic inflation in Pakistan is related with volatility in government borrowing …

heteroscedasticity (GARCH) measure of real exchange rate volatility, the findings show that exchange rate volatility depresses exports in …This study estimated an error correction model of the impact of real effective exchange rate volatility on the …

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 …