[1] Adebiyi, Ayodele Ariyo, Aderemi Oluyinka Adewumi, and Charles Korede Ayo. 2014. “Comparison of ARIMA and Artificial Neural Networks Models for Stock Price Prediction.” Journal of Applied Mathematics, 1-7. https://doi.org/dx.doi.org/10.1155/2014/614342.

[2] Ayub, Shafaq, and Yasmin Zahra Jafri. 2020. “Comparative Study of an ANN-ARIMA Hybrid Model for Predicting Karachi Stock Price.” American Journal of Mathematics and Statistics 10 (1): 1-9. https://doi.org/10.5923/j.ajms.20201001.01.

[3] Banumathy, Karunanithy, and Ramachandran Azhagaiah. 2012. “Modelling Stock Market Volatility: Evidence from India.” Managing Global Transitions 13 (1): 27-42.

[4] Bhaumik, Sankar Kumar. 2015. Principles of Econometrics. First edit. United Kingdom: Oxford University Press.

[5] Binder, John J, and Matthias J Merges. 2001. “Stock Market Volatility and Economic Factors.” Review of Quantitative Finance and Accounting 17: 5-26.

[6] Bollerslev, Tim. 1986. “Generalized Autoregressive Conditional Heteroskedasticity.” Journal of Econometrics 31: 307-27.

[7] Brooks, Chris. 2014. Introductory Econometrics for Finance. New York: Cambridge University Press.

[8] Chuli·, Helena, Martin Martens, and Dick Van Dijk. 2010. “Asymmetric Effects of Federal Funds Target Rate Changes on S & P100 Stock Returns , Volatilities and Correlations.” Journal of Banking and Finance 34 (4): 834-39. https://doi.org/10.1016/j.jbankfin.2009.09.012.

[9] Engle, Robert F. 1982. “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation.” Econometrica 50 (4): 987-1008.

[10] Henry, Olan. 1998. “Modelling the Asymmetry of Stock Market Volatility.” Applied Financial Economics 8: 145-53. https://doi.org/10.1080/096031098333122.

[11] Idrees, Sheikh Mohammad, M Afshar Alam, and Parul Agarwal. 2019. “A Prediction Approach for Stock Market Volatility Based on Time Series Data.” IEEE Access 20: 1-9. https://doi.org/10.1109/ACCESS.2019.2895252.

[12] Karanasos, Author M, and J Kim. 2003. “Moments of the ARMA - EGARCH Model.” The Econometrics Journal 6 (1): 146-66.

[13] Karmakar, Madhusudan. 2005. “Modeling Conditional Volatility of the Indian Stock Markets.” Vikalpa 30 (3): 21-37.

[14] Kaur, Harpreet, and Ravinderjit Singh. 2019. “Modelling Volatility Clustering and Asymmetry: A Study of Indian Index Futures Markets.” Indian Journal of Finance 13 (3): 51-65.

[15] Kumar, Rakesh, and Raj S Dhankar. 2010. “Empirical Analysis of Conditional Heteroskedasticity in Time Series of Stock Returns and Asymmetric Effect on Volatility.” Global Business Review 11 (1): 21-33. https://doi.org/10.1177/097215090901100102.

[16] Kumar, Rakesh, and Raj S Dhankar. 2011. “Non Linearity and Heteroskedasticity Effect on Stock Returns Volatility: A Case of US Stock Market.” Global Business Review 12 (2): 319-29. https://doi.org/10.1177/097215091101200209.

[17] Lama, Achal, Girish K Jha, Ranjit K Paul, and Bishal Gurung. 2015. “Modelling and Forecasting of Price Volatility: An Application of GARCH and EGARCH Models.” Agricultural Economics Research Review 28 (1): 73-82. https://doi.org/10.5958/0974-0279.2015.00005.1.

[18] Mohammadi, Hassan, and Lixian Su. 2010. “International Evidence on Crude Oil Price Dynamics: Applications of ARIMA-GARCH Models.” Energy Economics 32: 1001-8. https://doi.org/10.1016/j.eneco.2010.04.009.

[19] Mustapa, Farah Hayati, and Mohd Tahir Ismail. 2019. “Modelling and Forecasting S & P 500 Stock Prices Using Hybrid Arima-Garch Model.” Journal of Physics: Conference Series 1366: 1-13. https://doi.org/10.1088/1742-6596/1366/1/012130.

[20] Natchimuthu, Nm, and Karthigai Prakasam. 2018. “Estimation of Conditional Volatility Models for Indian Stock Market.” Asian Journal of Research in Business Economics and Management 8 (5): 33-48. https://doi.org/10.5958/2249-7307.2018.00045.2.

[21] Nelson, Daniel B. 1991. “Conditional Heteroskedasticity in Asset Returns: A New Approach.” Econometrica 59 (2): 347-70.

[22] Pati, Pratap Chandra, Parama Barai, and Prabina Rajib. 2017. “Forecasting Stock Market Volatility and Information Content of Implied Volatility Index.” Applied Economics, 1-17. https://doi.org/10.1080/00036846.2017.1403557.

[23] Ratnayaka, R.M. Kapila Taranga, D.M.K.N. Seneviratne, Wei Jianguo, and Hasitha Indika Arumawadu. 2015. “A Hybrid Statistical Approach for Stock Market Forecasting Based on Artificial Neural Network and ARIMA Time Series Models.” International Conference on Behavioral, Economic, and Socio-Cultural Computing, 54-60.

[24] Singla, Ravi, and J.S. Pasricha. 2012. “Asset Pricing in the Indian Capital Market: A Study of Positive and Negative Return Periods.” Journal of Academic Research in Economics 4 (1): 90-101.

[25] Sopipan, Nop. 2017. “Trading Gold Future with ARIMA-GARCH Model.” Thai Journal of Mathematics, no. June 2017: 227-38. https://doi.org/http://thaijmath.in.cmu.ac.th.

[26] Sorin, Anton. 2012. “Evaluating the Forecasting Performance of GARCH Models. Evidence from Romania.” Procedia - Social and Behavioural Sciences 62: 1006-10. https://doi.org/10.1016/j.sbspro.2012.09.171.

[27] Varughese, Ashish, and Tomy Mathew. 2017. “Asymmetric Volatility of the Indian Stock Market and Foreign Portfolio Investments: An Empirical Study.” Indian Journal of Finance 11 (6): 36-49.

[28] Vasudevan, R. D., and S. C. Vetrivel. 2016. “Forecasting Stock Market Volatility Using GARCH Models: Evidence from the Indian Stock Market.” Asian Journal of Research in Social Science and Humanities 6 (8): 1565-74. https://doi.org/10.5958/2249-7315.2016.00694.8.

[29] Xiong, Zhengde, and Lijun Han. 2015. “Volatility Spillover Effect between Financial Markets: Evidence since the Reform of the RMB Exchange Rate Mechanism.” Financial Innovation 1 (9): 1-12. https://doi.org/10.1186/s40854-015-0009-2.

[30] Zakoian, Jean Michel. 1994. “Threshold Heteroskedastic Models.” Journal of Economics Dynamics and Control 18: 931-55.