Stock Market Volatility

  • Mohamed El Hedi Arouri
  • Fredj Jawadi
  • Duc Khuong Nguyen
Part of the Contributions to Management Science book series (MANAGEMENT SC.)


The primary objective of this chapter is to discuss the risk notion in finance and to focus particularly on the risk associated with investments in emerging stock markets. After introducing the risk conception as well as its determinants and types, this chapter develops an overview on the most often used measures of risk in finance. A particular attention is then devoted to the volatility emerging stock returns and to explain why this volatility is so pronounced. Next, we focus on the quantification of financial volatility using recent time-series econometric models of volatility. Finally, these modeling techniques are applied to evaluate the degree of volatility and risk in emerging stock markets, and their evolution within the current global financial crisis.


Stock Market Stock Return Conditional Variance GARCH Model ARMA Model 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Springer-Verlag Berlin Heidelberg 2010

Authors and Affiliations

  • Mohamed El Hedi Arouri
    • 1
  • Fredj Jawadi
    • 2
  • Duc Khuong Nguyen
    • 3
  1. 1.Faculty of Law, Economics, and ManagementUniversity of OrleansOrléansFrance
  2. 2.Amiens School of ManagementAmiensFrance
  3. 3.ISC Paris School of ManagementParisFrance

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