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 evidence of leverage effect. On evaluating the estimated...

Enhanced machine learning methods provide an encouraging alternative to forecast asset prices by extending or generalizing the possible model specifications compared to conventional linear regression methods. Even if enhanced methods of machine learning in the literature often lead to better...

This study introduces a novel index based on expectations concordance for explaining stock-price volatility when novel events that are each somewhat unique cause unforeseeable change and Knightian uncertainty in the process driving outcomes. Expectations concordance measures the degree to which...

While most studies examine the impact of business confidence on market performance, we instead focus on the consumer because consumer spending habits are a natural extension of trading activity on the equity market. This particular study examines investor sentiment as measured by the Consumer...

The study employs the Markovian processs on annual nominal effective exchange rate of CFA Franc spanning 1975 to 2017 to examine whether the CFA franc is prone to speculative attacks or a contagion effect. The findings reveal that the expected duration for the CFA Franc to be undervalued is...

This study examines the impact of volatility shifts on volatility persistence for three major sector indices of Istanbul Stock Exchange (ISE) and ISE National 100 index over the period beginning from 1997 and ending in 2009. The exponential generalized autoregressive conditional...