An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or volatility) associated with financial returns, was the portmanteau statistic for non-causality in variance of Cheng and Ng (1996). A subsequent development was the Lagrange...

We discuss the sensitivity to the GARCH (1,1) parameters in the causality of variance tests. The motivation behind the study is to observe the impact of different volatile data sets on volatility spillover tests. We investigate a data generating process AR(1)-GARCH (1,1) with an extensive set of...

This study aims at investigating the correlation and causality relationships between stock prices in Palestine and some macroeconomic variables. Two methodologies were used in order to determine the relationships, first we used a regression analysis for ten years' worth of quarterly data (40...