The volatility of 19 agricultural commodity prices are examined at monthly and annual frequencies. All of the price … series are found to exhibit persistent volatility (periods of relatively high and low volatility). There is also strong … evidence of transmission of volatilities across prices. Volatility in oil prices is found to be a significant determinant of …

A contribution to the study of volatility and country risk is made in order to achieve a successful crosscountry … fractional integration order and determination of the adjusted volatility which best characterizes the economy. This methodology … the series persistence and volatility. Comparing a traditional risk indicator to our suggested one we find that the …

This is an empirically study to investigate the exchange rate volatility and it impacts on bilateral exports growth …, ASEAN, and Asia-Pacific regions. To establish the empirical relationship between exchange rate volatility and impact on … investigation, the result shows that the exchange rate volatility has a negative and major effect both in short run and long run …

The interaction of volatility between the financial markets and gold market is analyzed. The volatility of the price of … of the variables itself. Through these models we proved there is a relationship between the volatility of gold prices and …

volatility from one capital market to another. This study aims to understand the spillover effect between the US, the Japan … capital markets and Indian equity index (Sensex). We analyze whether the volatility spillover is contemporaneous (directly in … the very same day), or dynamic/lagged (with one day lag). A GARCH (1,1) model of modelling volatility has been undertaken …

This is a study to investigate the exchange rate volatility and it impacts on international trade growth: evidence from … Bangladesh. To establish the empirical relationship between exchange rate volatility and impact on international trade growth in …-integration and error correction methods have been used to do the analysis the relationship between exchange rate volatility and …

), its volatility as well as the asymmetric effects, for the period of 12th May 2009 to 12th June, 2015. The empirical …-of-theweek effect is influenced by the choice of the volatility model applied. Similarly, the highest or lowest volatility market day …

This study investigated the impact of investor sentiment impact on sectoral returns and their volatility on the … to consider the impact of market-wide investor sentiment on volatility and returns. …

breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng's algorithm … breaks in volatility, while Cheng's technique works well only when a single break occurs. …

volatility of a time series. We derive the main properties of the model and apply it to all agricultural commodities in the … volatility process and, according to homoscedasticity tests, outperforms the ARCH(1) and GARCH(1,1) models, some of the most … popular approaches used in the literature to analyze price volatility. Keywords: Agricultural prices, volatility, GARCH models. …