volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by … between markets and somewhat weaker temporal effects with regard to the US equity market - volatility spillovers decrease when … markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of …

employ the family of GARCH models to investigate the structural changes in risks with the implementation of a series of … substantial volatility. Among them, macro-control policies and transaction cost adjustments are a double-edged sword, which should …

This paper attempts to fit the best Generalized Autoregressive Conditional Heteroscedastic (GARCH) model for All Share … Index (ASI) of Nigerian Stock Exchange (NSE) returns. A search is made on various GARCH variants specified on the … and non-normality of GARCH innovations, with models and forecasts evaluated using information criteria and loss functions …

Financial market volatility is an important element when setting up port- folio management strategies, option pricing … the period of October 1999 to June 2011 are studied using basic GARCH type models. The data were then di- vided into three … bigger impact on stock market volatility, namely at sensitivity, persistence and asymmetric effects. …