generalised autoregressive conditional heteroskedasticity (GARCH) model and extend the analysis using the exponential GARCH … than the GARCH model in estimating the volatility of the Australian stock returns. However, another interesting finding is … that the EGARCH model with volatility equation without news demonstrates a larger (smaller) leverage effect of the negative …

-19 pandemic. We applied the GARCH (1, 1), GJR-GARCH (1, 1), and EGARCH (1, 1) econometric models on the daily time series … the market volatility and asymmetric behavior of Bitcoin, EUR, S&P 500 index, Gold, Crude Oil, and Sugar during the COVID … returns data ranging from 27 November 2018 to 15 June 2021. The empirical findings show a high level of volatility persistence …

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

(GARCH), asymmetric power ARCH (APARCH), exponential generalized autoregressive conditional heteroscedstic (EGARCH …-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 …

regression, Box-Jenkins methodologies have been applied initially then GARCH-type models are used to counter the problems of auto …-correlation and ARCH effect and to model the conditional variance of FDI. It is found that foreign direct investment in Pakistan … observed that the volatility shocks are quite persistent and take a long time to die out. September 11, 2001incident and …

-correction method can improve the n-GARCH and n-EGARCH VaR forecasts so much that the acquired VaR predictions are different from the …-correction step to improve Value-at-Risk (VaR) forecasting ability of the n-EGARCH (normal EGARCH) model and correct the VaR for both … proposed probability. Additionally, allowing asymmetry in the conditional variance using the EGARCH model with normal …

: Germany, United Kingdom, China, Russia, and Turkey. MARMA, GARCH, GARCH-in-mean, and exponential GARCH (EGARCH) methodologies …This paper investigates linkages among equity market returns and volatility spillovers in the following countries … volatility spillovers. All of the countries in the sample, with the exception of UK and Turkey, experience volatility spillovers …

managers. This study is conducted to analyze the volatility clustering and asymmetry occurrence by employing different GARCH … estimated the analytical competence of GARCH models and found that GJR-GARCH and EGARCH executed better results than GARCH (p, q …Volatility clustering and asymmetry are considered as an essential element in time series data analysis for portfolio …

run association is explored using VECM model. The volatility spillover dynamics is examined using the GARCH and EGARCH … Conventional index. Furthermore, this study finds asymmetric bidirectional volatility spillovers between Islamic and conventional …

GARCH by developed Engle and Bollerslev (1986) and EGARCH by Nelson (1991) methodologies, the paper empirically assessed the …