On the Impact of Inflation and Exchange Rate on Conditional Stock Market Volatility: A Re-Assessment

Yaya, OlaOluwa S and Shittu, Olanrewaju I (2010): On the Impact of Inflation and Exchange Rate on Conditional Stock Market Volatility: A Re-Assessment. Published in: American Journal of Scientific and Industrial Research , Vol. 1, No. 2 (2010): pp. 115-117.

Abstract

This paper studies the impact of inflation and exchange rate on conditional stock market volatility. Sentana’s QGARCH model is generalized to include the asymmetries in inflation and exchange rate that are not allowed in linear GARCH (p, q) model of Bollerslev (1986). Nonlinear specifications of QGARCH model then show the significant relationship of inflation and exchange rate to conditional stock market volatility.

• Item Type: MPRA Paper
• Language: English
• Keywords: Conditional Volatility, Exchange rates, Inflation rates, Quadratic-GARCH, Stock prices, volatility clustering.
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes

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