<?xml version="1.0" encoding="UTF-8"?><xml><records><record><source-app name="Biblio" version="7.x">Drupal-Biblio</source-app><ref-type>17</ref-type><contributors><authors><author><style face="normal" font="default" size="100%">Amine Guerouah</style></author><author><style face="normal" font="default" size="100%">Halim Zeghdoudi</style></author><author><style face="normal" font="default" size="100%">Fatima Zohra Bouseba</style></author></authors></contributors><titles><title><style face="normal" font="default" size="100%">On Univariate and Multivariate GARCH Models: Oil Price and Stock market returns volatilities</style></title><secondary-title><style face="normal" font="default" size="100%">International Journal of Applied Mathematics and Statistics (IJAMAS)</style></secondary-title></titles><dates><year><style  face="normal" font="default" size="100%">2018</style></year></dates><volume><style face="normal" font="default" size="100%">57</style></volume><pages><style face="normal" font="default" size="100%">23-33</style></pages><language><style face="normal" font="default" size="100%">eng</style></language><abstract><style face="normal" font="default" size="100%">&lt;p style=&quot;text-align: justify;&quot;&gt;
	This paper investigates the empirical properties ofoil price and Stock market return volatilities using a range of univariate and multivariate GARCH models and monthly data from the U.S. The study relates the period August 1987 to October 2016, a total of 351 observations given. The aim of this paper is to examine the relationship between stock and oil markets. In addition, we evaluate the performance of each model with a range of diagnostic and forecast performance tests using univariate GARCH(1,1) and bivariate BEKK GARCH(1,1), DCC GARCH(1,1) models.&lt;br&gt;Keywords: GARCH models, Volatility, energy prices, Stock prices and Crude oil.
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</style></abstract><issue><style face="normal" font="default" size="100%">No 1</style></issue></record></records></xml>