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...
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| Format: | Article |
| Language: | English |
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Penerbit Universiti Kebangsaan Malaysia
2022
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| Online Access: | http://journalarticle.ukm.my/19406/1/jeko_561-11.pdf http://journalarticle.ukm.my/19406/ https://www.ukm.my/jem/issue/v56i1/ |
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