GHORBEL, Achraf; BOUJELBENE, Younes - In: Journal of Applied Research in Finance Bi-Annually III (2011) 2, pp. 185-203
The current paper examines the volatility parameters of thirteen stock markets returns (mature and emerging) by GARCH … exists for all stock markets returns and that volatility is persistent and asymmetrical according to the shock nature …. Moreover, the volatility spillover, which is important between the mature stock markets, is checked between the majorities of …