... interdependencies between exchange rates and stock market return. Finally, they use various GARCH models, including the EGARCH and TGARCH models, to determine whether there exist volatility spillovers from exchange rate fluctuations in various markets to the volatility in the US stock market. Findings Using...

...@kennesaw.edu 10 07 2021 06 01 2022 19 05 2022 08 08 2022 26 08 2022 29 08 2022 Oil price shocks Energy prices Impulse responses Volatility ARCH GARCH GARCH-M VAR VEC SVAR SVEC Production technologies and economics link oil prices and the prices of other...

.../methodology/approach A conditional capital asset pricing model (CAPM) and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) model is used to estimate time-varying daily betas of the 50 largest Indian stocks spread across 16 industries over five years (Nov 2017 to May 2021...

... uses the generalized autoregressive conditional heteroscedasticity (GARCH) model (Bollerslev, 1986). To explain the leverage effect of ETFs and index return volatility, we use the exponential generalized autoregressive conditional heteroscedasticity (EGARCH) model by Nelson (1991) . The results from...

... markets. Design/methodology/approach In undertaking the empirical analysis, data for major European stock market indices were utilised. The conditional variance of the VAR‐GARCH model for each pair of indices is examined. Findings The results provide evidence on strong EU equity market integration...

... VaR reflects emerging risk characteristics, this paper introduces an approach that incorporates time‐varying volatility. Design/methodology/approach This study uses the GARCH technique to calculate the volatility metric with which VaR estimates are obtained. The out‐of‐sample performance...

...Richard A. Michelfelder; Saurin Pandya © Emerald Group Publishing Limited 2005 Emerging stock markets GARCH Skewness Kurtosis Volatility Managerial Finance 66 Volatility of Stock Returns: Emerging and Mature Markets by Richard A. Michelfelder, Assistant Professor of Finance...