On Stock Market Asymmetric Volatility
Loading...
Date
Journal Title
Journal ISSN
Volume Title
Publisher
Far East Journal of Theoretical Statistics
Abstract
This study utilized GARCH-type models to model the relationship between stock returns and its volatility in addition to investigating the asymmetric volatility of both emerging and developed markets. The effect of including trading volume in the conditional variance of GARCH-type models on volatility asymmetry and volatility
Description
Journal Article
Citation
Kalovwe, S. K., Mwaniki, J. I., & Simwa, R. O. (2022). On Stock Market Asymmetric Volatility. Far East Journal of Theoretical Statistics