oil market is characterized by volatility persistence, (2) a negative shock has more impact on future volatility than an … equal positive shock, (3) crude oil volatility is lower at higher prices, (4) OPEC meeting announcements and the Petroleum … employ an improved procedure for testing and quantifying the hypothesized volatility determinants within GARCH type model. …

This paper explores financial market convergence in East African economies by analysing the long-run volatility trends … in the currencies of this region. In particular, a Component-GARCH model is estimated, which is able to distinguish short …- and long-run volatility dynamics. Common movement of the long-run component is in turn used to infer if financial and …

While flexible exchange rates facilitate stabilisation, exchange rate fluctuations can cause real volatility. This … gives policy importance to the causal relationship between exchange rate depreciation and its volatility. An exchange rate … this: depreciation makes exchange rate more volatile for all but volatility does not causes depreciation in Tanzania which …

exchange market volatility. Due to increases in market uncertainty, crisis periods exhibit abnormally high levels of volatility …. By studying short-term changes in volatility dynamics, it is possible to identify the start- and end-dates of crisis … the volatility of rand returns between January 1994 and March 2009. Dummy variables controlling for the detected shifts in …