Modeling stock market volatility in Croatia: A reappraisal
Purpose: In this paper, the volatility of the Croatian stock market index CROBEX is investigated using the GARCH(1,1) model. Methodology: The novelty provided by this paper is the estimation of the GARCH(1,1) model by using three conditional error distributions (normal (Gaussian) distribution, St...
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| Auteurs principaux: | , |
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| Format: | Artigo |
| Langue: | Inglês |
| Publié: |
Faculty of Economics and Business in Osijek
2021-01-01
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| Collection: | Ekonomski Vjesnik |
| Sujets: | |
| Accès en ligne: | https://hrcak.srce.hr/file/392364 |
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