. Since the volatility of returns on stocks is not constant through time, conditional heteroscedasticity models are used to … estimate the volatility of stock returns. The impact of tax on volatility of return on indices is insignificant. …

volatility for 32 indexes from advanced and emerging markets. We analyze this seasonality for two periods of time: a relative …-GARCH model allows us to identify, for the two periods, various forms of day of the week effects in returns and volatility … radical decline occurred for the day of the week effects in volatility. In the case of indexes from the emerging markets, the …

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 … GARCH (1,1). The result showing us that there is one way volatility spillover between Indonesia and USA (USA effecting …

International capital markets tend to be characterized by volatility, which is always a function of world economic and … Exchange was different during the crisis and after the crisis and how the volatility of the Romanian market changed in the post …