euro currency, had on returns volatility across the different members of the currency union. We analyse the twelve … countries that adopted the euro in January 2002, over the sample period July 1990 to December 2006. Volatility is measured … introduction of the euro. The first sub-period shows evidence of asymmetric volatility in only a few countries. The relaxation of …

Volatility in financial markets is a highly explored area of research for the last few decades. Possible reasons for … macroeconomic variables as determinants of financial markets (stock market and exchange rate) volatility. It also aims to analyse … the contribution of the volatility of one financial market to the volatility of another financial market before and after …

In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily … persistence of volatility, meaning that the conditional volatility tends to revert faster to the long-term mean than the other … statistically significant and positive (thus confirming the hypothesis that an increase in volatility leads an increase in future …