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 …

Investors are not only concerned about the returns but they also equally bother about the
risk. In this paper, GARCH (1, 1) and GARCH-in-mean models have been used for …

Investors become jittery when they do not earn return on their hard earned money. In the
same time, they want to make their investment in safe place rather than losing it. For better …

The enormous sway of COVID-19 on the international financial market has been felt across
the globe. The financial markets of Bangladesh have also been similarly affected by the …

This study proposed two new classes of GARCH (1, 1) model by applying the
Tukeytransformations to the returns and to the lagged variance. The behavior of return …

Adjusting investment strategy is one of the ways to handle dynamic market conditions. This
study proposes a novel portfolio management strategy using appropriate optimization …

The past decade has been marked by an increase in the number of products sold through
online shops. Various types of businesses that originally were only available offline have …

In this paper, we introduce a new conditional volatility model (AEGAS-M) to analyze the
impact of COVID-19 on US stock markets volatility and especially on risk premium of Dow …

This study examines the phenomena of predictability, persistence in volatility, and leverage
effect in the stock returns of BRICS nations. This paper also evaluates the distributions and …

This study aims to predict stock price volatility using the ARCH/GARCH model in Indonesia.
The research method used is a quantitative method on the Indonesia stock price index for …