This paper analyzes the volatility of stock returns on the Belgian stock exchange during the period April 1991 to April … 2008. The empirical analysis showed that there is a mean and volatility spillover effect from the big European markets … Euronext stock exchange in September 2000 has affected the conditional volatility. Finally, the structural analysis of …

Volatility is essential to consider uncertainty surrounding investments in financial assets. For this reason, financial … volatility. Against this background, this paper investigates the volatility of returns on the Zimbabwean stock market between … January 2020 and January 2022. We use the All Shares Index for Zimbabwe Stock Exchange (ZSE) for volatility analysis and …

low correlation at times of low volatility. With these results, we will be able to understand the impact of major world … low and high volatility. The results of research suggest that when there is less dynamics in major world indices, the SASE …Previous research indicates that performance and volatility of small and regional stock markets can be influenced by …

studied and evident in financial literature that stock markets around the world have predictable patterns e.g. calendar effect … holy month for the Muslims, with the market return, volatility and trade volume in the of DSE. Applying GJR-GARCH (p … return and volatility. However, Ramadan has a significant negative impact on the daily trade volume of DSE. This is might be …

This paper estimates the day-of-the-week effect on the market return, volatility of market returns and trade volume of … exist in case of market return, volatility of market return and trade volume over the study period of 2005 to 2018. It is … evident that lowest return, highest volatility, and lowest trading volume occur on the Sundays. Returns of Mondays and …

studied and evident in financial literature that stock markets around the world have predictable patterns, e.g. calendar … Ramadan, the holy month for the Muslims, with the market return, volatility and trade volume in the of DSE. Applying GJR … stock market return and volatility. However, Ramadan has a significant negative impact on the daily trade volume of DSE …

average, exponentially something, AR, and GARCH class models including ARCH, GARCH, GJR- GARCH, and EGARCH. Volatility is … exchanges (TSE), where the market is highly regulated and therefore less subject to volatility. To evaluate the forecasting … with other volatility forecasting models in international exchanges. However, the simple smoothing model provides superior …

expected return in Indonesia Stock Exchange (ISE). The idiosyncratic risk is proxy by idiosyncratic volatility, realized and … expected idiosyncratic volatility, as a natural proxy for this risk that only found in individual securities. The realized … realized idiosyncratic volatility on return is significantly positive. We also find that the effect of lagged idiosyncratic …