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Keywords: GARCH
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Journal Articles
Does the day of the week and month of the year affect ESG performance? Empirical evidence from the Indian stock market
Available to Purchase
Journal of Economic and Administrative Sciences 1–25.
Published: 04 December 2025
... of ESG. Design/methodology/approach The linear and non-linear GARCH models are used to analyse the daily data from April 1, 2011, to December 31, 2024, to investigate the existence of seasonal anomalies in ESG stocks. Findings The results from the linear and non-linear GARCH models reveal...
Journal Articles
Analysing volatility patterns in emerging markets: symmetric or asymmetric models?
Available to Purchase
Journal of Economic and Administrative Sciences (2025) 41 (5): 1928–1946.
Published: 25 December 2023
...Himani Gupta Purpose Investors aim for returns when investing in stocks, making return volatility a crucial concern. This study compares symmetric and asymmetric GARCH models to forecast volatility in emerging nations like the G4 countries. Accurate volatility forecasting is vital for investors...
Journal Articles
Impact of cryptos on the inflation volatility in India: an application of bivariate BEKK-GARCH models
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Journal of Economic and Administrative Sciences (2024) 40 (2): 221–237.
Published: 14 January 2022
...Shailesh Rastogi; Jagjeevan Kanoujiya Purpose The main aim of the study is to explore the volatility spillover effect of cryptocurrencies (Bitcoin, Ethereum and Litecoin) on inflation volatility in India. Design/methodology/approach A popular tool, the Bivariate GARCH model (BEKK-GARCH...
Journal Articles
An investigation of stock market volatility: evidence from Dubai financial market
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Journal of Economic and Administrative Sciences (2018) 34 (1): 21–35.
Published: 12 February 2018
.../methodology/approach A daily time series data were collected over the period 1st January 2014-31st December 2015 and the generalized autoregressive conditional heteroskedasticity (GARCH) methodology was implemented. Findings Empirically, the authors find that the current volatility of Dubai Financial...
Journal Articles
Sensitivity of stock indices to global events: the perspective for Pakistani Canadians
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Journal of Economic and Administrative Sciences (2016) 32 (2): 102–119.
Published: 21 November 2016
... GARCH Karachi Stock Exchange Event study Toronto Stock Exchange Finance literature has historically been interested in analyzing the impact of events on different aspects of securities, such as their returns and volatility. While most of the literature deals with understanding the impact...
