. Second, change in time varying volatility and unconditional volatility is examined using GARCH (1, 1) model. Findings – The … bonus and rights issue announcements. Moreover, measuring volatility using GARCH model overcomes the potential problem of …Purpose – The purpose of this paper is to examine the short‐term and long‐term stock price volatility changes around …

conditional heteroskedasticity [ARCH (1)], generalized autoregressive conditional heteroskedasticity [GARCH (1, 1)], GARCH in mean … [GARCH-M (1, 1)], exponential GARCH [E-GARCH (1, 1)], threshold GARCH [T-GARCH (1, 1)], power GARCH [P-GARCH (1, 1)] and also … return series show non-normal distribution, stationarity and volatility clustering. However, the heteroskedasticity is absent …

. Two testing methodologies are used in this study, event study as well as GARCH and EGARCH models. Additionally, sector … Cup affected the stock market return and volatility for the hosting country (Qatar) and other economically related … for the period of 2010 and 2011 and analyzed to examine if mega sport events influence stock market return and volatility …

starts with a CAPM model and continues with GARCH(1,1), TGARCH(1,1) and EGARCH(1,1) models for each of the REIT subcategories … using GARCH models that include the day‐of‐the‐week effect and the stock‐market index as explanatory variables. This … technique documents the return and volatility of equity, mortgage and hybrid REITs. Design/methodology/approach – The study …

and the EGARCH model with dummy variables. Findings – Results reveal no change in market volatility following the partial … volatility in the Qatar Exchange (QSC). Design/methodology/approach – The study utilizes two methods, simple analysis of variance … removal of the restrictions on foreign participation. Results suggest, however, that the degree of persistence in volatility …

employ a E-GARCH model and consider the asymmetric response of volatility to shocks of different sign. Further, the authors …Purpose The purpose of this paper is to examine the effect of trading volume and open interest on volatility of futures … consider a regression framework to examine the contemporaneous relationships between volatility, trading volume and open …

data, on volatility forecasts of the US REIT market. Design/methodology/approach The author uses the S&P US REIT index and … reveal that search volume data can be used to predict volatility on the REIT market. Especially in periods of high volatility … high volatility. Originality/value This is the first paper to use Google search query data for volatility forecasts of the …

Purpose – The purpose of this paper is to test whether the volatility of regional stock markets’ is common or country … the fluctuations of common component of stock market volatility. Design/methodology/approach – The paper applies the time …-varying weighting methodology of Lumsdaine and Prasad (2003) to determine whether the volatility fluctuation is country-specific or …

Purpose – The purpose of this paper is to compare the daily conditional variance forecasts of seven GARCH-family models …. This paper investigates whether the advanced GARCH models outperform the standard GARCH model in forecasting the variance … November 2013. The forecasts are then compared using multiple statistical tests. Findings – It is found that the standard GARCH …