The volatility of the stock market and financial cycle : GARCH family models
The paper examines the association between financial market volatility and actual economic incidents. We specifically analyze the statistical characteristics of the stock price series and its association with the financial cycle. Using 20 years of Vietnamese main stock VNIndex daily data from 2 Augu...
Saved in:
Main Author: | Tran, Thuy Nhung |
---|---|
Format: | Article |
Language: | English |
Published: |
Penerbit Universiti Kebangsaan Malaysia
2022
|
Online Access: | http://journalarticle.ukm.my/19406/1/jeko_561-11.pdf http://journalarticle.ukm.my/19406/ https://www.ukm.my/jem/issue/v56i1/ |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
-
Performance of GARCH models in forecasting stock market volatility.
by: Choo, Wei Chong, et al.
Published: (1999) -
Financial volatility and bank stock returns: an
Armax-Garch-M modelling
by: Hooy, Chee Wooi, et al.
Published: (2003) -
Generalised Autoregressive Conditional Heteroscedasticity (Garch) Models For Stock Market Volatility
by: Choo, Wei Chong
Published: (1998) -
Forecasting Stock Market Volatility Using Wavelet Transformation Algorithm Of Garch Model
by: Audu, Buba
Published: (2017) -
Volatility forecasting with the wavelet transformation algorithm GARCH model: Evidence from African stock markets
by: Ismail, Mohd Tahir, et al.
Published: (2016)