-variate GARCH-in-mean model and volatility spillovers. The empirical results show the significant effects (positive and negative …, respectively) of the stock market returns, interest rate, and exchange rate volatility of the financial sector during the crisis …. Besides, we find, in most cases, significant (positive and negative, respectively) volatility spillovers from market return …

250-day time window were investigated by measuring realized stock returns and realized volatility. We examined the normal … distribution and frequency distribution for both daily stock returns and volatility. We also determined the beta-coefficient and …. We compared the stock volatility and stock returns for specific time periods i.e., non-crisis, before crisis and during …