Korkpoe, Carl H.; Junior, Peterson Owusu - In: SPOUDAI - Journal of Economics and Business 68 (2018) 1, pp. 26-42
exponential-GARCH(1,1) and GJR-GARCH(1,1) incorporating the market reactions to news. We noted the returns distribution is skewed … model the behaviour of the tails and capture the asymmetry in the distribution of the returns. The GJR-GARCH(1,1) with the …