Effects of Conditional Oil Volatility on Exchange Rate and Stock Markets Returns

Effects of Conditional Oil Volatility on Exchange Rate and Stock Markets Returns

The underlying volatility at a given time is called conditional volatility at this particular time and is modeled by various ARMA-GARCH conditional variance equations (GARCH, EGARCH, GJR, APARCH, IGARCH). How important are oil price fluctuations and oil price volatility in foreign exchange markets...

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Bibliographic Details
Main Authors: Tarek Bouazizi, Fatma Mrad, Arafet Hamida, Sawsen Nafti
Format: Article
Language:English
Published: EconJournals 2022-03-01
Series:International Journal of Energy Economics and Policy
Subjects:
ARMA-GARCH
Conditional Volatility
Oil price
Exchange Rate
Stock Market
Online Access:https://econjournals.com/index.php/ijeep/article/view/12826

Internet

https://econjournals.com/index.php/ijeep/article/view/12826

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