This paper attempts to determine the relationship between conditional stock market volatility and macroeconomic volatility using monthly data for Turkey from 1986 to 2003. The macroeconomic variables used include industrial production, the money supply M1, inflation, an exchange rate variable,...

This paper attempts to determine the relationship between conditional stock market volatility and macroeconomic volatility using monthly data for Turkey from 1986 to 2003. The macroeconomic variables used include industrial production, the money supply M1, inflation, an exchange rate variable,...

Time-series analysis of weekly initial claims over 1967–2012 reveal the following: (1) Initial claims are highly seasonal and cyclical, but do not follow a specific trend. Seasonality follows a “W” pattern over the 52 week period. (2) Initial claims are subject to conditional volatility...

This paper investigates volatility persistence in Southern and East African stock markets taking into account the rate of volatility decay. Generalised autoregressive conditional heteroscedaticity (GARCH) and GARCH-in-mean (GARCH-M) models are used to estimate volatility persistence and risk...