Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected … Methodology - We propose to estimate and model volatility using GARCH family models for selected European markets. We aim to … explore volatility movement, presence of leverage effect/ asymmetry in selected financial markets. Findings - The econometric …

In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily … persistence of volatility, meaning that the conditional volatility tends to revert faster to the long-term mean than the other … statistically significant and positive (thus confirming the hypothesis that an increase in volatility leads an increase in future …

Terrorist incidents exert a negative, albeit usually short-lived, impact on markets and equity returns. Given the … indicate that the volatility of stock market returns is increased in all cases examined. …

This paper examines the time-varying conditional correlations of daily European equity market returns during the Irish … collapse of Irish equity markets and subsequent troika intervention in Ireland spilled over upon European equity markets during … equity markets and the investigated European equity markets. The contagion effects are found to ease dramatically in the …

Volatility in financial markets is a highly explored area of research for the last few decades. Possible reasons for … macroeconomic variables as determinants of financial markets (stock market and exchange rate) volatility. It also aims to analyse … the contribution of the volatility of one financial market to the volatility of another financial market before and after …