This study is designed to model and forecast Nigeria's stock market using the AllShare Index (ASI) as a proxy. By … studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …

volatility of Nigeria and Kenya stock returns react to market shock faster than as other countries do. The results also suggest … dummy on two innovation assumptions using daily all share index of Nigeria, Kenya, United States, Germany, South Africa and … volatility reaction to market shocks and volatility persistence alongside the asymmetric properties. The results reveal that …

models (in the case of Spain) confirmed that the COVID-19 pandemic increased the volatility of stock market return. This …

In this paper, we examined the changes in volatility overflow among the exchange rate of the Japanese yen (JPY), the … and transportation equipment indices). The findings highlighted causality in variance (volatility spillover) among the … variables. We revealed that volatility could also spread indirectly among the variables (from one variable to another through a …