The contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and … studies have shown that the application of appropriate error distribution in volatility model enhances efficiency of the model … asymmetric volatility models each in Normal, Student's-t and generalized error distributions with the view to selecting the best …

and the influences of volatility. Using a sample of 46 stocks listed in the Stock Exchange of Thailand, in this paper, an … event study technique is developed considering idiosyncratic volatility to analyze the reactions of stock prices and market … volatility in Thailand during the period of the pandemic. The empirical results suggest that most securities in the Thai stock …