examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis … were used to examine the degree or severity of volatility based on the first difference, standard deviation and coefficient … of deviation estimated volatility series for the nominal and real exchange rate of naira vis-a-vis the U.S dollar. The …

further exacerbated by income volatility caused by international commodity price fluctuations, while directional hedging, as a … favourite policy response, has been both costly and ineffective. We propose efficient and effective volatility hedging … stochastic volatility in commodity prices by adopting GARCH and Error Correction Methods (ECM) to improve the forecasting …

This paper studies the volatility spillover between oil price and conventional and Islamic stock markets. We use a …. Our findings show particular specificities of Islamic marketplaces in reducing the volatility transmission and lowering … the volatility persistence, which gives the investors and market participants an opportunity in terms of international …

volatility clustering among selected WAMZ countries for the period 1980-2016. The univariate symmetric and asymmetric ARCH …/GARCH modeling approach is employed with the Maximum Likelihood Estimation Technique and the results show exchange rate volatility …

metal price series is investigated, as well as time-varying volatility. The results demonstrate that allowing for jumps and … time-varying volatility provides statistically important improvements in the modelling or prices, relative to GBM. These …