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  • Search: subject:"Persistence of Volatility"
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ARCH model 1 ARCH-Modell 1 Estimation 1 Nasdaq-100 1 Schätzung 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1 Volatility 1 Volatilität 1 asymmetrical stochastic volatility 1 leverage effect 1 persistence of volatility 1
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CC license 1 Free 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Gubadli, Magsud 1 Suleymanov, Elchin 1 Yagubov, Ulvi 1
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Risks : open access journal 1
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ECONIS (ZBW) 1
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Test of volatile behaviors with the asymmetric stochastic volatility model : an implementation on Nasdaq-100
Suleymanov, Elchin; Gubadli, Magsud; Yagubov, Ulvi - In: Risks : open access journal 12 (2024) 5, pp. 1-18
The present study aimed to investigate the presence of asymmetric stochastic volatility and leverage effects within the Nasdaq-100 index. This index is widely regarded as an important indicator for investors. We focused on the nine leading stocks within the index, which are highly popular and...
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