Modelling Stock Indexes Volatility of Emerging Markets
This study aims to investigate the use of ARCH (autoregressive conditional heteroscedasticity) family models for forecasting volatility of four regional emerging stock markets i.e. KSE 100, BSE-SENSEX, DSE 20 and SSE Composite index. The ARCH, GARCH, EGARCH, TGARCH and PARCH models are used and the...
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| Principais autores: | , , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado: |
Shaheed Zulfikar Ali Bhutto Institute of Science and Technology
2017-12-01
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| Series: | JISR Management and Social Sciences & Economics |
| Assuntos: | |
| Acceso en liña: | https://jisrmsse.szabist.edu.pk/index.php/szabist/article/view/118 |
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