direct investment in Pakistan have been investigated using quarterly data over the period of 1976Q1 to 2006Q4. Stepwise …-correlation and ARCH effect and to model the conditional variance of FDI. It is found that foreign direct investment in Pakistan … observed that the volatility shocks are quite persistent and take a long time to die out. September 11, 2001incident and …

The study analyzed the effectiveness of exchange rate on macroeconomic variables of Pakistan. The precise objective of …

In this paper we examine the issue of asymmetry in the return and volatility spillover effects from the US equity … market into the Canadian and Mexican equity markets. We model the conditional volatility of the returns in each of the three … considerably from those for Mexico. In particular, the empirical results indicate that volatility spillover effects, but not return …

-variate GARCH-in-mean model and volatility spillovers. The empirical results show the significant effects (positive and negative …, respectively) of the stock market returns, interest rate, and exchange rate volatility of the financial sector during the crisis …. Besides, we find, in most cases, significant (positive and negative, respectively) volatility spillovers from market return …

This study provides analytical insight on modelling macroeconomic and oil price volatility in Nigeria. Mainly, the … GARCH - M); and oil price is a major source of macroeconomic volatility in Nigeria. By implication, the Nigerian economy is … vulnerable to both internal shocks (interest rate volatility, real GDP volatility) and external shocks (exchange rate volatility …