Using the volatility spillover index method based on the quantile vector autoregression (QVAR) model, this paper systematically examines structural changes and corresponding spillover effects within 20 major stock markets under both extreme and normal market conditions, using data spanning from...

This study is designed to model and forecast Nigeria's stock market using the AllShare Index (ASI) as a proxy. By employing the Markov regime-switching autore-gressive (MS-AR) model with data from April 2005 to September 2019, the studyanalyzes the stock market volatility in three distinct...