This paper models and forecasts volatility (conditional variance) on the Ghana Stock Exchange using a random walk (RW … the dynamics of the Ghana stock market volatility over a 10-year period. The competing volatility models were estimated … nonlinearity diagnostic checks. The DSI exhibits the stylized characteristics such as volatility clustering, leptokurtosis and …

return volatility. Besides, the increases in the STT rate have mixed effects on market efficiency, either improving or …

Return and volatility spillover among Indian stock market with that of 12 other developed and emerging Asian countries … possibility of stock market integration and volatility spillover among India and its major Asian counterparties. Apart from …, stock markets in Pakistan and Sri Lanka are found to be strongly influenced by movements in Indian market. Though most of …

’ volatility. Such changes are the expression of investor’s uncertainty in regard to the market’s dynamics and lead to systematic … the aftermath of financial crisis. The methodology consists in the estimation of the so called intrinsic volatility in … index daily data, during pre and current crisis period. Also, it is a study on the structural changes in this volatility …