Predicting Co-Movement of Banking Stocks Using Orthogonal GARCH
This study investigates the application of orthogonal generalized auto-regressive conditional heteroscedasticity (OGARCH) in predicting the co-movement of banking sector stocks in Indonesia. All state-owned banking sector stocks in Indonesia were studied using daily data from January 2013 to Decembe...
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| Autores principales: | , , |
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| Formato: | Artigo |
| Lenguaje: | Inglês |
| Publicado: |
MDPI AG
2022-08-01
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| Colección: | Risks |
| Materias: | |
| Acceso en línea: | https://www.mdpi.com/2227-9091/10/8/158 |
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