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Dynamic volatility behaviour of stock markets in southern Africa

Mashamba, Tafirei; Magweva, Rabson - In: Journal of economic and financial sciences : JEF 12 (2019) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10012019002

Modelling volatility of cryptocurrencies using Markov-switching GARCH models

Caporale, Guglielmo Maria; Zekokh, Timur - 2018

Persistent link: https://www.econbiz.de/10011995757

A note on the estimated GARCH coefficients from the S&P1500 universe

Bampinas, Georgios; Ladopoulos, Konstantinos; … - In: Applied economics 50 (2018) 34/35, pp. 3647-3653

Persistent link: https://www.econbiz.de/10012059386

The asymmetry and volatility of the Chinese stock market caused by the "New National Ten"

Tsai, Jui-Jung; Wang, Yang-Chao; Weng, Kehuang - In: Emerging markets finance & trade : a journal of the … 51 (2015), pp. 86-98

Persistent link: https://www.econbiz.de/10011603392

Macroeconomic determinants of stock market volatility : an empirical study of Malaysia and Indonesia

Nikmanesh, Lida; Abu Hassan Shaari Mohd Nor - In: Asian Academy of Management journal : AAMJ 21 (2016) 1, pp. 161-180

Persistent link: https://www.econbiz.de/10011665273

Day-of-the-week anomaly : an illusion or a reality? ; evidence from Naira/Dollar exchange rates

Osabuohien-Irabor, Osarumwense - In: CBN journal of applied statistics 7 (2016) 1, pp. 311-332

), its volatility as well as the asymmetric effects, for the period of 12th May 2009 to 12th June, 2015. The empirical … results of GARCH-t(1,1), EGARCH-t(1,1), GJR-GARCH-t(1,1), IGARCH and the OLS methodology shows that the detection of the day …-of-theweek effect is influenced by the choice of the volatility model applied. Similarly, the highest or lowest volatility market day …

Persistent link: https://www.econbiz.de/10011535278