Alfreedi, Ajab A.; Isa, Zaidi; Hassan, Abu - In: Journal of Statistical and Econometric Methods 1 (2012) 1, pp. 43-76
In this study, we have investigated GCC stock market volatilities exploiting a number of asymmetric models (EGARCH, ICSS-EGARCH, GJR-GARCH, and ICSS-GJR-GARCH).This paper uses the weekly data over the period 2003-2010. The ICSS-EGARCH and ICSS-GJR-GARCH models take into account the discrete...
