We also take into account the analysis of asymmetric volatility
transmission in international stock Markets.
Ogun, Beer, and Nouyrigat (2005) reported, amongst others that volatility clustering and asymmetric volatility
found in the United States and other developed markets are also present in Nigeria.
Aslam (2014) confirmed that Pakistan equity market showed asymmetric volatility
behavior using EGARCH(1,1).
The asymmetric volatility
itself is based on three independent theories i.e.
Also, in the context of the Brazilian stock market, asymmetric volatility
models, TARCH and RTARCH, showed to be better than symmetric volatility approaches to indicate the significance of leverage effects on volatility modeling.
We document an asymmetric volatility
(3) The co-movement between oil and G7 stock markets is typically time varying and exhibits both asymmetric volatility
effects and long-memory patterns.
spillovers: Revisiting the Diebold-Yilmaz (2009) spillover index with realized semivariance.
Investor heterogeneity and asymmetric volatility
under short-sale constraints: Evidence from Korean fund market*
spillovers in deutsche mark exchange rates.
An empirical investigation of asymmetric volatility
in real GDP growth rates of Japan, the United Kingdom, the United States and Canada was carried out by (Ho and Tsui, 2003).