relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the …

This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … points. Our results reveal presence of volatility in the three currencies and equally indicate that most of the asymmetric … models rejected the existence of a leverage effect except for models with volatility break. Evaluating the models through …

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 …

This study investigated how stock market volatility responded dynamically to unexpected changes during the COVID-19 … pandemic and the resulting uncertainty in Thailand. Using a multivariate GARCH-BEKK model, the conditional volatility dynamics …, the interlinkages, and the conditional correlations between stock market volatility and the increasing rate of COVID-19 …

This paper examines the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models … in Student's t-distribution are adjudged the best volatility models for B2 and B3 respectively. The study recommends that … in modelling stock market volatility, variants of GARCH models and alternative error distribution should be considered …

's subsequent volatility in both spot and futures markets. Financial derivatives, which are not only highly representative of the … futures. The purpose of the paper is to investigate the co-volatility spillovers within and across the U.S. energy and … financial sectors in both spot and futures markets, by using 'generated regressors' and a multivariate conditional volatility …

the high stock price volatility coupled with high credit spreads in Nigeria. The paper suggests that CoCos could have been …