examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis … examined using the ADF and PP approach, the stationary process, and order of the incorporated series. The ARCH and GARCH models … were used to examine the degree or severity of volatility based on the first difference, standard deviation and coefficient …

This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … 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 study employs measures of variability and three GARCH models to comparatively explore the behaviour of exchange … rate volatility of the currencies in the West African Monetary Zone (WAMZ) for the period 1960M01-2011M12. The study … selects a sub-sample period of 2000M1 to 2011M12 to investigate whether central bank intervention decreases volatility of the …

-of-sample volatility forecasting, AR(2)-GARCH(1, 1) is considered the best. …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 …

), its volatility as well as the asymmetric effects, for the period of 12th May 2009 to 12th June, 2015. The empirical … results of GARCH-t(1,1), EGARCH-t(1,1), GJR-GARCH-t(1,1), IGARCH and the OLS methodology shows that the detection of the day …-of-theweek effect is influenced by the choice of the volatility model applied. Similarly, the highest or lowest volatility market day …

regression, Box-Jenkins methodologies have been applied initially then GARCH-type models are used to counter the problems of auto … observed that the volatility shocks are quite persistent and take a long time to die out. September 11, 2001incident and … thereafter war on terror has increased the conditional volatility of foreign direct investment and has statistically significant …

implied GARCH volatility of nominal exchange rates of the euro, Czech koruna, Hungarian forint, Polish zloty, Romanian leu …

change was observed both in the correlation and volatility levels for specific market segments, as well as in the market … dynamics. These findings provide a new insight into understanding the shock resilience, which consequently can supplement a … positive signal for future system stability, it also evidences that the widely used GARCH and DCC specifications turn to be …

employ the family of GARCH models to investigate the structural changes in risks with the implementation of a series of … substantial volatility. Among them, macro-control policies and transaction cost adjustments are a double-edged sword, which should …

the analysis. The GARCH model is introduced for examining the volatility of commodity futures. One of the key … volatility trend for gold futures in all contract cycles. The result of the GARCH (1,1) model suggests the presence of persistent …Background: This paper examines the pattern of the volatility of the daily return of select commodity futures in India …