This study aimed at understanding the Nigerian Stock Market with regards to volatility and prediction, to this effect the month end stock prices of four major companies from the period January 2005 to December, 2009 was used as proxy. The study made use of the Autoregressive Conditional...

This paper analyzes the causal relationships between returns and volatilities of assets prices in U.S. and French markets. The period for the study has been taken from January 1997 to December 2000, using daily and weekly data. Initial results show that U.S. stock prices "Granger-cause" French...

The main banking operation is lending. Indeed, between banks investments at the first place are credits. For good credits bank have to be visible, especially at stock exchange. In the study of capital markets, the temptation of yield is a forecast great. Many studies and models have tried to...

This paper investigates the effect of exchange rate volatility on US-UK bilateral trade flows. As part of econometric problems arising from a generated variable, we consider a special case when an ARCH type auxiliary model is used to measure uncertainty in the exchange rate and discuss a...

This study tests for the existence of default and liquidity risk premiums in Farm Credit System bonds. ARCH models are used with over eight years of daily data on yields to maturity of Farm Credit System bonds and U.S. Treasury bonds. Matching five-year maturities for both types of bonds were...

This paper analyzes the most common regularities of daily stock returns time series in the Spanish Energy Market from an empirical point of view. As they are a powerful tool, we fit a selection of developments of Autoregressive Conditional Heteroscedastic (ARCH) processes to the series in order...

State space models provide a useful stochastic description for dynamic phenomena, based on unobserved or latent variables. When the model rests on linear and Gaussian assumptions there exists a well-known iterative procedure, called the Kalman filter, which gives analytic updating recursion for...

This paper investigates the effect of exchange rate volatility on US-UK bilateral trade flows. As part of econometric problems arising from a generated variable, we consider a special case when an ARCH type auxiliary model is used to measure uncertainty in the exchange rate and discuss a...