In this study, we use for the first time the conditional heteroscedasticity specifications (GARCH, AGARCH, APARCH … between the US Dollar and the Euro. So, the conditional heteroscedasticity models are used to capture the time … heteroscedasticity models. Besides, we can remark that the conditional heteroscedasticity volatility prediction attains their maximum …

, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … conditional heteroscedasticity Lagrange multiplier (ARCHLM) techniques in conducting the empirical analysis. Descriptive … from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors’ returns. Furthermore …

This paper provides a theoretical explanation for the heteroscedasticity of asset returns. In line with existing … assumptions that investors behave according to Prospect Theory and are subject to mental accounting in a dynamic setting, we … analytically derive the unit-root versions of two of the best fitting heteroscedasticity models (EGARCH and TGARCH). The model is …