The study aimed at determining a set of superior generalized orthogonal-GARCH (GO-GARCH) models for forecasting time-varying conditional correlations and variances of five foreign exchange rates vis-à-vis the Nigerian Naira. Daily data covering the period 02/01/2009 to 19/03/2015 was used, and...

The study aimed at determining a set of superior generalized orthogonal-GARCH (GO-GARCH) models for forecasting time-varying conditional correlations and variances of five foreign exchange rates vis-à-vis the Nigerian Naira. Daily data covering the period 02/01/2009 to 19/03/2015 was used, and...

This paper is dedicated to research of level of profitability and risk in Russian stock market in the period of world crisis 2008-2009 Correlations of Russian stock market with the main world stock indices and prices of energy commodities are discussed Autocorrelation of returns is researched...

This study was conducted to explore the varying volatility of world rice price for the period 1961 to 2008 using monthly data. The paper provides estimates of two GARCH models, namely, GARCH and EGARCH which were used to capture the stochastic variation and asymmetries in the world rice price....

This paper examines the degree to which four emerging stock markets in the Arab Gulf countries (Bahrain, Kuwait, Oman and Saudi Arabia) are regionally linked and the implications of this on portfolio diversification and hedging strategies. We find that conditional heteroscedasticity is present...

This paper examines the degree to which four emerging stock markets in the Arab Gulf countries (Bahrain, Kuwait, Oman and Saudi Arabia) are regionally linked and the implications of this on portfolio diversification and hedging strategies. We find that conditional heteroscedasticity is present...

This paper examines the degree to which four emerging stock markets in the Arab Gulf countries (Bahrain, Kuwait, Oman and Saudi Arabia) are regionally linked and the implications of this on portfolio diversification and hedging strategies. We find that conditional heteroscedasticity is present...

This paper investigates the weak form of market efficiency hypothesis over eleven Tunisian banks listed on the Tunisian Stock Exchange during the period July 2012 to June 2013. GARCH (1, 1) and its extension EGARCH (1,1) are developed in order to describe the sign and size of financial...