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Liquidity volatility and spillover effects : evidence from the UK-USA and East Asian countries
Lim, Sung; Giouvris, Evangelos - In: International journal of financial engineering and risk … 2 (2015) 1, pp. 48-71
Persistent link: https://www.econbiz.de/10011344290
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A comparative GARCH analysis of macroeconomic variables and returns on modelling the Kurtosis of FTSE 100 implied volatility index
Alsheikhmubarak, Abdulilah Ibrahim; Giouvris, Evangelos - In: Multinational finance journal 22 (2018) 3/4, pp. 119-172
Persistent link: https://www.econbiz.de/10012547707
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A Comparative GARCH Analysis of Macroeconomic Variables and Returns on Modelling the Kurtosis of FTSE 100 Implied Volatility Index
Alsheikhmubarak, Abdulilah; Giouvris, Evangelos - 2023
Modelling the volatility (or kurtosis) of the implied volatility is an important aspect of financial markets when analysing market consensus and risk strategies. The purpose of this study is to evaluate the ability of symmetric and asymmetric GARCH systems to model the volatility of the FTSE 100...
Persistent link: https://www.econbiz.de/10014254483