We construct investor sentiment of UK stock market using the procedure of principal component analysis. Using sentiment-augmented EGARCH component model, we analyse the impacts of sentiment on market excess return, the permanent component of market volatility and the transitory component of market volatility. Bullish sentiment leads to higher market excess return while bearish sentiment leads t...

Due to global shut down of economic activities and transportation, the infrastructure sector has see a halt in operations due disruptions supply chain, impacting international investors as they became cautious their investment position. The study is aimed at modelling volatility returns India using S&P BSE Infrastructure Index during Covid-19 by applying univariate stipulations GARCH family mod...

سلج 36 روم 07 / 02 / 94 و يس و دصكي نيمشش يشهوژپ ياروش هسلج تروص 1 . هسلج ليكشت تعاس و خيرات ،زور : زور هبنشود خيرات هب 07 / 02 / 94 هسلج نامز تدم 2 زا تعاس 14 تياغل 16 2 . يدعب هسلج خيرات : 28 / 02 / 94 3 . هسلج ليكشت لحم : يشهوژپ تنواعم رتفد 4 . هسلج رد هدننك تكرش ءاضعا : 1 ناراجشا يلع رتكد 2 رتكد يمولظم يلع رف 3 رفدنمجرا سابع رتكد 4 يرفعج دمحم رتكد يدنره 5 يضاق ديعس رتكد يبرغم ...

In the last five decades, Box Jenkins methodology has been in existence to model univariate time series data but fails or limitations on modeling volatility. Most financial do exhibit heavy tail and thick distribution, this effect various parametric semi-parametric non –linear models have proposed two three decades ago capture However, research entails measuring volatility its forecasting using...

The economic downturns locally and internationally due to the COVID-19 crisis were main motivation for this study. However, rather than broadly examining indices, paper focused on reaction of Nigerian stock market in terms volatility crisis. specific objectives study identify differences performance COVID crisis, determine persistence ascertain leverage effects news stocks exchange floor. Adopt...