This paper examines the effect of foreign exchange news announcements on the volatility of stock returns in Nigeria … volatility equations. The empirical results revealed a positive and significant effect of exchange news announcements on stock … market volatility in Nigeria under symmetric conditional variance. However, there was strong evidence of asymmetric effect …

's dynamic properties may lead to misestimation of the intraday spot volatility. …

Background: Modeling exchange rate volatility has remained crucially important because of its diverse implications …. This study aimed to address the issue of error distribution assumption in modeling and forecasting exchange rate volatility …-of-sample volatility forecasting, AR(2)–GARCH(1, 1) is considered the best. …

In this paper, we estimate, model and forecast Realized Range Volatility, a new realized measure and estimator of the …-known stylized effects present in financial data. We consider an HAR model with asymmetric effects with respect to the volatility and …

volatility (RV) of ten global stock market indices in the period from January 2000 to December 2021. We train models using a …