, focusing on the relationship between returns and conditional volatility. The conditional mean follows a GARCH-M model, while … PGARCH) were tested. We examine how accurately these GARCH models forecast volatility under various error distributions … the following: (i) the Macedonian stock returns time series display stylized facts such as volatility clustering, high …

In theory, the price of equity is determined by the dividend yields and growth potentials of the firms. There exists … established empirical proof of the impact of macroeconomic changes to the equity markets. With the advent of Islamic equities, and … initial empirical proof for further research on the impact of specific economic variables on the changes in Islamic equity …

/noncausal model is more representative of the data according to the Kullback-Leibler measure. Moreover, these estimation results …

This paper investigates the relationship between stock market returns and volatility in the Indian stock markets using … reveals that volatility is persistent and there exists leverage effect supporting the work of Nelson (1991) in the Indian … varying volatility, high persistence and asymmetric volatility responses, in determining the hedging strategy and portfolio …

the purpose of the description of the observed persistence in the mean and volatility of a time series. The long memory … volatility in financial series. ARFIMA model also has a considerable capacity for modeling the return behavior of these time … regression technique was used for estimation of different ARFIMA models. Furthermore, different GARCH-type models were also …

As far as the author’s knowledge, the paper is the first attempt dedicated to understanding the risk and volatility of …-frequency domain. Using wavelet coherence, we have gained valuable insights into the volatility and continuous dynamics of cross …