studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …

This study examines the impact of volatility shifts on volatility persistence for three major sector indices of … volatility shifts which are determined by using iterated cumulative sums of squares (ICSS) and modified ICSS algorithms such as … Kappa-1 (κ-1) and Kappa-2 (κ-2). The results indicate that the inclusion of volatility shifts in the model substantially …

volatility reaction to market shocks and volatility persistence alongside the asymmetric properties. The results reveal that … volatility of Nigeria and Kenya stock returns react to market shock faster than as other countries do. The results also suggest …

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH …) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative … subsequent shocks to volatility. However, there are as yet no statistical properties available for the (quasi-) maximum …

Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH …) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative … shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator (QMLE) of the EGARCH …

Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH …) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative … shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator (QMLE) of the EGARCH …

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH …) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative … subsequent shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator of the EGARCH …

relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the …

This paper examines the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models … in Student’s t-distribution are adjudged the best volatility models for B2 and B3 respectively. The study recommends that … in modelling stock market volatility, variants of GARCH models and alternative error distribution should be considered …