conditional volatility association of gold, crude oil and yield (or IR) on the ER (the price of US$ in Indian rupee). The daily … theories of market connectivity. The results are as expected (from the previous literature) for conditional volatility, whereas … findings regarding volatility spillover effects (VSE) and are surprising. The findings of the study imply the separation of …

This study provides analytical insight on modelling macroeconomic and oil price volatility in Nigeria. Mainly, the … GARCH - M); and oil price is a major source of macroeconomic volatility in Nigeria. By implication, the Nigerian economy is … vulnerable to both internal shocks (interest rate volatility, real GDP volatility) and external shocks (exchange rate volatility …

volatility. The current paper employed quarterly time series data from 2002 to 2020 to analyse the responsiveness of household … consumption expenditure to the petrol price, disposable income and exchange rate volatility in South African. The empirical … of consumption expenditure was found to be determined by income level and exchange rate volatility whilst changes in …