In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily … Americans), during March 2013 - January 2017. The results of the GARCH (1.1) show that the models are correctly specified for … stock indices analysed. In the case of the GARCH-M (1.1) model, the variance coefficient in the mean equation was …

of ARCH and GARCH coefficients (α + β = 0.9) is approximately close to unity – indicating strong evidence of volatility …