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

Olaoluwa Yaya and Olanrewaju I Shittu

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Conditional Volatility; Exchange rates; Inflation rates; Quadratic-GARCH; Stock prices; volatility clustering. (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (6)

Published in American Journal of Scientific and Industrial Research 2.1(2010): pp. 115-117

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:88759

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