Modeling the volatility of FTSE All Share Index Returns

We tested different GARCH models in modeling the volatility of stock returns in London Stock Exchange. The monthly returns of FTSE All Share Index during the period of February 1965 and October 2002 and GARCH, TGARCH, EGARCH, and AGARCH models have been used for the analysis.

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Year of publication:	2007-04-27
Authors:	Bayraci, Selcuk
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	volatility modeling \| GARCH \| EGARCH \| TGARCH \| AGARCH

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C51 - Model Construction and Estimation ; C01 - Econometrics
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008788806