Concerning conditional volatility spill out, Liow (2015), explored the conditional volatility spread among various asset classes including stock and currency market.
Further, the study concludes that the major contributing factor in volatility spillovers is equity portfolio, and the spillover cycle of business cycle variations and asset market return is correlated.
Liao and Chen (2008), analyzed the volatility spill out of gold and oil returns in Taiwan industrial sub-indices estimating TGARCH model.
In an attempt to distinguish among different effects of exchange rate volatility on aggregate exports performance in different country groups, Sauer & Bohara (2001) use both fixed and random effects panel data models for 22 industrialized and 69 developing countries over the period (1973-1993).
Baaka, Al-Mahmood, & Vixathep (2007) investigate the effect of the bilateral exchange rate volatility in four East Asian countries (Hong Kong, South Korea, Singapore, and Thailand) on export volumes to Japan and the U.S.
Hayakawa & Kimura (2009) employ a gravity equation approach to test the relationship between exchange rate volatility and international trade using bilateral trade values among 60 countries between 1992 and 2005.
If the price of a stock moves up and down rapidly over short time periods, it has high volatility. If the price almost never changes, it has low volatility.
A relate stream of research has feuded on stock price volatility. The majority of studies to date in this area have been micro studies.
The impact of macroeconomic volatility on the stock return volatility of Malaysian market has been inspected by Zakaria and Shamsuddin (2012).
Bangladesh stock market was explored by Hasan and Zaman (2017) for the likely relationship between macroeconomic variables and return volatility of stocks listed at Dhaka Stocks Exchange (DSE).
In this section, we present a new numerical algorithm for constructing the time-varying volatility function.
Furthermore, the variable volatility [[sigma].sup.n] is defined similarly as [[sigma].sup.n.] [equivalent to] [sigma] ([[tau].sub.n]).