Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China … the US to the other three markets; but no spillover between Hong Kong and either of the two mainland China markets; (2 …) evidence of unidirectional ARCH and GARCH effects from the US to the other three markets; (3) correlations of returns vary …

this paper is to examine the effect of short-sale constraint on pricing efficiency in the China market. Not only that we … provide additional evidence outside the U.S., the unique setting in the China market makes it an ideal laboratory experiment …

of ARCH effect has been tried to predict with conditional variance models such as ARCH (1), ARCH (2), ARCH (3), GARCH (1 …,1), GARCH (1,2), GARCH (1,3), GARCH (2,1), GARCH (2,2), EGARCH (1,1) and EGARCH (1,2). While the obtained findings indicate that … the best model is in the direction of GARCH (1,1) according to Akaike info criterion, it was found that GARCH (1,1) model …

the best fitting model among SGARCH, EGARCH and GJR-GARCH. In a bid to account for the dynamic and persistent nature of …

the best fitting model among SGARCH, EGARCH and GJR-GARCH. In a bid to account for the dynamic and persistent nature of …

The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China …, Kraft, and Kroner (GARCH-BEKK) model during February 2, 2007, to February 29, 2010. The author finds evidence of …-market spillover. The overall persistence of stock market volatility is highest for Japan (0.931) and lowest for China (0.824). The …

The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China …, Kraft, and Kroner (GARCH-BEKK) model during February 2, 2007, to February 29, 2010. The author finds evidence of …-market spillover. The overall persistence of stock market volatility is highest for Japan (0.931) and lowest for China (0.824). The …

, we estimate two long memory models, the Fractional Integrated Asymmetric Power-ARCH and the Hyperbolic-GARCH with …