This study investigates the application of orthogonal generalized auto-regressive conditional heteroscedasticity (OGARCH) in predicting the co-movement of banking sector stocks in Indonesia. All state-owned banking sector stocks in Indonesia were studied using daily data from January 2013 to...

The return and volatility spillover effects on Asian Dragons were investigated in this study. Yahoo Finance provided the monthly statistics (from August 1997 to December 2020). This study used a generalized autoregressive conditional heteroskedasticity-autoregressive moving average (GARCH-ARMA)...