We find evidences of significant volatility co-movements and/ or spillover from different financial markets to forex … to be most important. Empirical findings also indicate that the volatility spillover differed across variables in terms … spillover. During the post-crisis period, it is the past volatility (persistent or fundamental) changes, rather than the …

Background: The purpose of this study is to examine volatility spillover effects between stock market and foreign … exchange market in selected Asian countries; Pakistan, India, Sri Lanka, China, Hong Kong and Japan. This study considered … Regressive Conditional Heteroskedasticity) model for the purpose of analyzing asymmetric volatility spillover effects between …