... in Thailand, Singapore and the Philippines. Elyasiani and Mansur (2004) examined bank stock return sensitivities to long-term and short-term interest rates using the GARCH (Generalized Autoregressive Conditional Heteroskedasticity) approach. They found that fluctuations in the long-term interest rate...

... data was collected from weekly T-bill auctions in five Sub-Saharan countries and was analysed using a range of Generalised Autoregressive Conditional Heteroscedasticity (GARCH) models in order to determine the volatility characteristics of each of these instruments. Differences in the institutional...

... and unconditional volatility is examined using GARCH (1, 1) model. Findings The results indicate that the historical volatility has increased after bonus and rights issue announcement. The volatility persistence and unconditional variance have increased after the bonus and rights issue announcements...