Modelling volatility in stock exchange data : a case study of three Johannesburg Stock Exchange (JSE) companies.
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This study aimed to analyze the Capital Asset Pricing Model (CAPM) methods in describing the risk and the rate of return of pharmaceutical companies stocks in Indonesia Stock Exchange
Research of this study seeks to obtain empirical evidence that free float and volatility have a positive influence on increasing stock liquidity on the IDX by involving a
The Granger causality tests, GARCH and EGARCH models were utilized to examine the relationship between the daily stock returns volatility and trading volume over the period of January
MODELLING STOCK AND BOND RETURNS AND VOLATILITY IN SOUTH-EAST ASIAN COUNTRIES CHAIWAT NIMANUSSORNKUL A THESIS SUBMITTED TO THE GRADUATE SCHOOL IN PARTIAL FULLFILLMENT OF THE
The study only in bond markets, the results show that the Singapore bond market volatility has spillovers to other bond markets, such that the volatility of a developed country affects
Thus, the objectives of this study are; 1 to construct heuristic based low volatility portfolios in Malaysian stock market, 2 to measure the performance of the constructed portfolios
For both NZD/USD and TWI index, in the pre-AFC period, the volatility spillover between NZ stock market returns and these two exchange rate changes are bidirectional; in the post-AFC
GARCH 1, 1 model is used to analyze the impact of interest rate changes and interest rate volatility on portfolio stock returns where q1 is the coefficient for interest rate volatility
