Alfreedi, Ajab A.; Isa, Zaidi; Hassan, Abu - In: Journal of Statistical and Econometric Methods 1 (2012) 1, pp. 111-131
This study examines the regime shifts in volatility in the stock markets of Gulf Cooperation Council (GCC) countries by employing the iterated cumulative sum of squares generalized autoregressive conditional heteroscedasticity (ICSSGARCH) model. Using the weekly data over the period 2003-2010,...
