Chelley-Steeley, Patricia L; Steeley, James M - In: The Manchester School of Economic & Social Studies 64 (1996) Suppl., pp. 83-103
The GARCH family of statistical processes are used to examine the characteristics of the volatility of the returns on capitalization-ranked portfolios of U.K. company shares. In common with U.S. evidence, the authors find an asymmetry related to firm size. Unexpected returns of large firm...