References

Adesina, K.S., 2013. Modelling stock market return volatility: GARCH evidence from Nigerian Stock Exchange. Intl. J. Financial Manage., 3: 37-46.
Direct Link  |  

Ali, T.M., M.T. Mahmood and T. Bashir, 2015. Impact of interest rate, inflation and money supply on exchange rate volatility in Pakistan. World Appl. Sci. J., 33: 620-630.

Alom, F., 2016. A note on the asymmetry and persistency of shocks in Malaysian exchange rate volatility. Malaysian J. Econ. Stud., 53: 227-238.
Direct Link  |  

Amatyakul, D. and P. Chintrakarn, 2012. Strategic asset allocation and portfolio rebalancing with anomalies: Evidence from emerging markets. J. Applied Sci., 12: 761-767.
CrossRef  |  Direct Link  |  

Angabini, A. and S. Wasiuzzaman, 2011. GARCH models and the financial crisis-A study of the malaysian stock market. Int. J. Applied Econ. Fin., 5: 226-236.
CrossRef  |  Direct Link  |  

Bala, D.A. and J.O. Asemota, 2013. Exchange-rates volatility in Nigeria: Application of GARCH models with exogenous break. CBN. J. Appl. Stat., 4: 89-116.
Direct Link  |  

Bucevska, V., 2013. An empirical evaluation of GARCH models in value-at-risk estimation: Evidence from the Macedonian stock exchange. Bus. Syst. Res., 4: 49-64.
CrossRef  |  Direct Link  |  

Elsherif, M.A., 2016. Exchange rate volatility and central bank actions in Egypt: Generalized autoregressive conditional heteroscedasticity analysis. Intl. J. Econ. Financial Issues, 6: 1209-1216.

Epaphra, M., 2017. Modeling exchange rat e volatility: Application of the GARCH and EGARCH models. J. Math. Finance, 7: 121-143.
CrossRef  |  Direct Link  |  

Gokbulut, R.I. and M. Pekkaya, 2014. Estimating and forecasting volatility of financial markets using asymmetric GARCH models: An application on Turkish financial markets. Intl. J. Econ. Finance, 6: 623-635.
CrossRef  |  

Kamble, G. and P. Honrao, 2014. Time-series analysis of exchange rate volatility of Indian rupee/US Dollar: An empirical investigation. J. Intl. Econ., 5: 17-29.
Direct Link  |  

Law, W.Y., 2013. Asymmetric and cross-sectional effects of inflation on Malaysian stock returns under varying monetary conditions. Ph.D Thesis, Universiti Tunku Abdul Rahman, Petaling Jaya, Malaysia.

Mathur, S., V. Chotia and N.V.M. Rao, 2016. Modelling the impact of global financial crisis on the Indian stock market through GARCH models. Asia Pac. J. Manage. Res. Innov., 12: 11-22.
Direct Link  |  

Murari, K., 2015. Exchange rate volatility estimation using GARCH models, with special reference to Indian Rupee against world currencies. IUP. J. Appl. Finance, 21: 22-37.
Direct Link  |  

Murthy, U., P. Anthony and R. Vighnesvaran, 2016. Factors affecting Kuala Lumpur Composite Index (KLCI) stock market return in Malaysia. Intl. J. Bus. Manage., 12: 122-132.
CrossRef  |  

Musa, S., 2014. An impact of exchange rate volatility on Nigeria’s export: Using ARDL approach. Ph.D Thesis, Cankaya Universitesi, Turkey.

Oberholzer, N. and P. Venter, 2015. Univariate GARCH models applied to the JSE/FTSE stock indices. Procedia Econ. Finance, 24: 491-500.
Direct Link  |  

Olweny, T. and K. Omondi, 2011. The effect of macro-economic factors on stock return volatility in the Nairobi Stock Exchange, Kenya. Econ. Finance Rev., 1: 34-48.

Sekmen, T. and M. Hatipoglu, 2016. Financial crises and stock market behaviors in emerging markets. IUP. J. Appl. Finance, 22: 5-26.
Direct Link  |  

Srinivasan, P., 2011. Modeling and forecasting the stock market volatility of S&P 500 index using GARCH models. IUP. J. Behav. Finance, 8: 51-69.
Direct Link  |  

Suliman, Z.S.A., 2012. Modelling exchange rate volatility using GARCH models: Empirical evidence from arab countries. Int. J. Econ. Finance, 4: 216-229.
Direct Link  |  

Tripathy, S. and A. Rahman, 2013. Forecasting daily stock volatility using GARCH model: A comparison between BSE and SSE. IUP. J. Appl. Finance, 19: 71-83.
Direct Link  |