A comparative GARCH analysis of macroeconomic variables and returns on modelling the Kurtosis of FTSE 100 implied volatility index
Abdulilah Ibrahim Alsheikhmubarak, Evangelos Giouvris
| Year of publication: |
2018
|
|---|---|
| Authors: | Alsheikhmubarak, Abdulilah Ibrahim ; Giouvris, Evangelos |
| Subject: | FTSE 100 implied volatility index (IV) | GARCH | EGARCH | GJR-GARCH | GARCH-MIDAS | FTSE 100 index returns | macroeconomic variables | Volatilität | Volatility | ARCH-Modell | ARCH model | Aktienindex | Stock index | Großbritannien | United Kingdom | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Index-Futures | Index futures | Index | Index number | Börsenkurs | Share price |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | hdl:11159/5504 [Handle] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012547707