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 …

volatility models. Our approach allows the isolation of the intrisic liquidity of any asset, and thus makes it possible to deduce …Until recently the liquidity of financial assets has typically been viewed as a second-order consideration. Liquidity … shocks could be easily diversified away. Yet the evidence- especially the recent liquidity crisis- suggests that liquidity is …

years. The forecasting performance shows the volatility in the Nigeria stock market to be on the increase for the next four …

stock price index volatility using daily Egyptian data. The competing Models include GARCH, EGARCH, GJR and APAPCH used with …-tailed asymmetric densities are taken into account in the conditional volatility, is better than symmetric GARCH. Moreover, it is found …-t density is more appropriate for modeling the Egyptian stock market index volatility …

. According to the results, bear periods have higher volatility persistency than bull periods. …

In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …

We discuss the empirical importance of long term cyclical effects in the volatility of financial returns. Following … existence of significant long term cyclical patterns in volatility with a strongly supported periodic component corresponding to … US economy and long term changes in the volatility of the basic stock market index …