We investigate the impact of the European Central Bank's monetary policy announcements on the level and volatility of …

, Asymmetry MEM, MEM, EGARCH, GJR GARCH, and GAS-GARCH Student t models) to examine the volatility of exchange rate returns … remark that the exchange rate returns between the US Dollar and the Euro show a highly volatility and validate the presence … heteroscedasticity models. Besides, we can remark that the conditional heteroscedasticity volatility prediction attains their maximum …

memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the …

This paper analyzes the asymmetric volatility of foreign exchange rates with respect to the Indian rupee by identifying … associated macroeconomic regimes in India. The paper aims to analyze the volatility spillovers and other relationships of the …) Japanese yen (YEN) and the euro (EUR) for the period 1973-2012. The study makes use of GARCH family models. The results show …

the commodity futures price. The significance and form of volatility spill-over effects of a bilateral exchange rate are … ; volatility ; forecasting …