average, exponentially something, AR, and GARCH class models including ARCH, GARCH, GJR- GARCH, and EGARCH. Volatility is … exchanges (TSE), where the market is highly regulated and therefore less subject to volatility. To evaluate the forecasting … with other volatility forecasting models in international exchanges. However, the simple smoothing model provides superior …

This paper examines time-varying stock price and volatility dynamics of constituent industry sector indices in the … of return during rises in aggregate stock market volatility. Finally, this paper identifies which industries exhibit the … highest degree of volatility persistence and how this impacts their respective beta estimates. It shows time-dependence in …

Ramadan, the holy month for the Muslims, with the market return, volatility and trade volume in the of DSE. Applying GJR … stock market return and volatility. However, Ramadan has a significant negative impact on the daily trade volume of DSE …

, and China's Volatility Index exhibit economically and statistically significant predictability for the expected returns of …

Understanding the pattern of stock market volatility is important to investors as well as for investment policy …. Volatility is directly associated with risks and returns, higher the volatility the more financial market is unstable. The … volatility of the Zimbabwean stock market is modeled using monthly return series consisting of 109 observations from January 2010 …

January 2020 and January 2022. We use the All Shares Index for Zimbabwe Stock Exchange (ZSE) for volatility analysis and …Volatility is essential to consider uncertainty surrounding investments in financial assets. For this reason, financial … volatility. Against this background, this paper investigates the volatility of returns on the Zimbabwean stock market between …

levels for the Zimbabwe Stock Exchange during the pre-Covid and Covid period. The study employed the ARIMA econometric … both periods. Zimbabwe stock market liquidity was found to be relatively lower as compared to other better positioned …-Covid period than in the Covid period. There was significantly higher volatility during the Covid period as compared during the pre …