Sökning: "CGARCH"
Hittade 1 uppsats innehållade ordet CGARCH.
1. Estimation of Volatilities and Spillover Effects Between Developed and Emerging Market Economies
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This study focuses on establishing the existence of volatility spillover effects between stock indices that represent developed and emerging markets. We employ a CGARCH(1,1) model, which distinguishes between the short-term (transitory) and long-term (permanent) conditional variance, allowing us to simultaneously examine the time trends of changes in volatility and spillover effects between developed and growing economies. LÄS MER
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