Contribution/Originality: In this study, the volatility of the Malaysian and Singaporean stock
market returns is examined and estimated with various GARCH models with different …

This paper uses the Generalized Autoregressive Conditional Heteroscedastic models to
estimate volatility (conditional variance) in the daily returns of the principal stock exchange …

Stock market volatility in two African exchanges, Khartoum Stock Exchange, KSE (from
Sudan) and Cairo and Alexandria Stock Exchange, CASE (from Egypt) is modelled and …

This paper aims to model stock return volatility in the Saudi stock market by using daily
closing prices on the general market index (Tadawul All Share Index; TASI) over the period …

The market participants always wonder the use of agriculture futures markets to mitigate risk,
as the trading in agricultural commodity not only leads to increasing exposure to external …

Commodity Risk Management goes beyond just an introductory treatment of derivative
securities, dealing with more advanced topics and approaching the subject matter from a …

Food inflation presents a significant challenge in Nigeria. This study examines the volatility
of four primary food items—tomatoes, yam, yellow garri, and imported rice—in Cross River …

The spates of corporate scandals of the last twenty-five years had motivated significant drive
towards institutional reforms particularly in numerous developed countries (eg Toshiba …

This study investigated the performance of eleven competing time series GARCH models for
fitting the rate of returns data, monthly observations on the index returns series of the market …

This study compares the fit and forecast performance of a selected group of parametric
Generalised Autoregressive Conditional Heteroskedasticity GARCH (1, 1) models using …