decompositions of unexpected stock returns. The evidence proves robust and consistently indicates intensified equity market linkage …

This study investigates the volatility in daily stock returns for Total Nigeria Plc using nine variants of GARCH models … backtesting. We use daily data for Total Nigeria Plc returns for the period January 2, 2001 to May 8, 2017, and conclude that … to converge; the mean reverting number of days for returns differed from model to model. From the analysis of VaR and its …

over 2,000 listed firms in China. The paper examines both the pattern of state ownership and the dynamics of stock returns … Shanghai and Shenzhen stock markets and using panel estimation techniques examine the dynamics of returns, volatility and their … in 2001. In examining the behaviour of stock returns the authors find evidence of daily and monthly autocorrelations that …

(RLS) model using the approach of Lu and Perron (2010) and Li and Perron (2013) for the volatility of daily stocks returns … suggest that the level shifts in the volatility of daily stocks returns data are infrequent but once they are taken into …

The literature has shown that the volatility of Stock and Forex rate market returns shows the characteristic of long … Stock and Forex returns. The model consists of the sum of a short term memory component and a component of level shifts. The … account, the characteristic or property of long memory disappears. Also, the presence of GARCH e§ects is eliminated when …

A multivariate VAR-EGARCH is used to examine the returns and volatility dynamics between thin-traded adjusted equity … returns from Ghana, Kenya, Nigeria and South Africa. The findings suggest a reciprocal return spillover between Ghana and …