This paper examines the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models …. Results reveal the presence of ARCH effect in B2 and B3 equity returns. In addition, the estimated models could not find … in Student's t-distribution are adjudged the best volatility models for B2 and B3 respectively. The study recommends that …

This study is designed to model and forecast Nigeria's stock market using the AllShare Index (ASI) as a proxy. By … studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …

information measures on daily realized volatility and select them by penalized regression. Then, we perform a forecasting exercise …

estimation of volatility models with breaks as against those of GARCH models without volatility breaks and that the introduction … significant events in GARCH models in volatility estimation of key asset prices. …This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to …

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

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. …

This study examines the impact of volatility shifts on volatility persistence for three major sector indices of … volatility shifts which are determined by using iterated cumulative sums of squares (ICSS) and modified ICSS algorithms such as … Kappa-1 (ê-1) and Kappa-2 (ê-2). The results indicate that the inclusion of volatility shifts in the model substantially …

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