This study is designed to model and forecast Nigeria's stock market using the AllShare Index (ASI) as a proxy. By … studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …

The contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and … studies have shown that the application of appropriate error distribution in volatility model enhances efficiency of the model …. Using Nigeria All Share Index from January 2, 2008 to February 11, 2013, this study estimates first order symmetric and …

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

This paper investigates the role of investor attention in forecasting realized volatility for fourteen international … augmented Empirical Similarity model that combines three volatility components, defined over different time horizons, using the … similarity measure between lagged Google search queries and volatility. Results show that investor attention positively affects …

In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …

The objective of this article is to investigate the volatility asymmetry, volatility-volume relationship by considering …-GARCH models to examine the volatility pattern in the stock market. Second, both contemporaneous and lagged trading volumes are … augmented in the volatility model to empirically verify the validity of Mixture of Distribution Hypothesis (MDH) and Sequential …

Distributions Hypothesis (MDH), which tests the GARCH vs. Volume effect, is also studied between the conditional volatility and …

This paper examines the effect of foreign exchange news announcements on the volatility of stock returns in Nigeria … market volatility in Nigeria under symmetric conditional variance. However, there was strong evidence of asymmetric effect … volatility equations. The empirical results revealed a positive and significant effect of exchange news announcements on stock …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

volatility of Nigeria and Kenya stock returns react to market shock faster than as other countries do. The results also suggest … dummy on two innovation assumptions using daily all share index of Nigeria, Kenya, United States, Germany, South Africa and … volatility reaction to market shocks and volatility persistence alongside the asymmetric properties. The results reveal that …