... of this study is based on the autoregressive conditional heteroscedasticity models (Bollerslev, 1986; Nelson, 1991) to examine returns and volatilities, the event study methodology (Fama et al., 1969) to assess abnormal returns surrounding event days and the quantile regression approach (Koenker...

... and investing.com websites and applies the event study methodology in addition to the generalized autoregressive conditional heteroscedastic (GARCH) family models. Findings The findings from the exponential EGARCH (1,1) estimate are the best indication of a significant positive effects of the Ukraine–Russia war...