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

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Bayraci, Selcuk (2007): Modeling the volatility of FTSE All Share Index Returns.
Classification:	C51 - Model Construction and Estimation ; C01 - Econometrics
Source:	BASE

Persistent link: https://www.econbiz.de/10015225208