This paper employs a modified multivariate GARCH model to test for cross-country mean and volatility transmission among … higher in Latin America. There is evidence of significant leverage effects and volatility persistence and, in the cases of … China and Peru, an impact of risk on returns was found. The findings also suggest that allowing for regional cross …

turmoil in these two markets (US & Europe) has affected entire world and a lot of volatility has been observed in all … financial markets around the world. Hence, it becomes imperative to identify the volatility spillover effect from one market to … other at this moment. This paper examines the volatility spillover of one market on other by taking five exchange rate …

varying correlations, is captured using the multivariate dynamic conditional correlation GARCH method whereas the time … volatility models reveal significant volatility transmission between most of the countries. On the other hand, the use of time …

This paper addresses the central open issue in exchange rate economics: the link between exchange rate volatility and … economic fundamentals. In the framework of a multivariate volatility model that allows for volatility spillover, we develop a … foreign exchange volatility. We show that news announcement effects include two components; a direct and an indirect effect …

is utilized to investigate shocks and volatility spillover of the rates. The estimated DCC-GARCH (1, 1) reveals that … and volatility spillovers between Nigeria Naira/US Dollar Bureau De Change (BDC) exchange rate and interbank call rate … with data from January 2007 to August 2019. The study employs a dynamic conditional correlation form of GARCH model (DCC-GARCH …