The Covid-19 pandemic increased uncertainty in the Indonesian stock market. This paper aims to investigate foreign and domestic investors' behavior market, especially during pandemic. method used was E-GARCH DCC-GARCH. results showed that impact of shocks from bad good news greater on return volatility had a positive increase spillover effect NFI's short long term before pandemic, but this did ...

K e y w o r d s: market microstructure, day-of-the-week effect, liquidity, turnover, HAC, GARCH, Warsaw Stock Exchange. J E L Classification: C10, C58, G10, G12.

This paper employs the symmetric GARCH and asymmetric GJR-GARCH(1,1) E-GARCH(1,1) models to explain dynamics of PLN/EUR PLN/USD exchange rates in Poland for periods January 2015 July 2022. The result our study shows that USD rate is more susceptible market fluctuations events than EUR rate. Additionally, both rates' volatility persists after a crisis while, with taking longer until subsides. Us...

We consider th e relationships between ARCH-type and stochast ic volatility models. A new class of volatility models, called generalized bilinear stochastic volatility, is described following an approach that tr ansforms an init ial GARCH-M process. Th e focus here is on th e interpretation of some simulation results, with a special care devoted to model misspecification.

We analyze the time-dependence of exchange rate correlations using a new multivariate GARCH model. This model consists of two parts. First, we transform the exchange rate changes into their principal components and specify univariate GARCH models for all components. Second, we use the inverse of the principal components construction to transform the conditional component moments back into those...

In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span two samples of 5 years ranging from 1986 to 1995. Using asymptotic arguments and Monte Carlo simulat...

Modelling and detecting structural changes in GARCH processes have attracted a great amount of attention in econometrics over the past few years. We generalize Dahlhaus and Rao (2006)’s time varying ARCH processes to time varying GARCH processes and show the consistency of the weighted quasi maximum likelihood estimator. A class of generalized likelihood ratio tests are proposed to check smooth...