Showing 1 - 4 of 4
Persistent link: https://www.econbiz.de/10012126156
We analyze volatility contagion between the U.S. and Chinese stock markets and international capital markets. The volatility is modeled using: GARCH, TARCH, EGARCH, APARCH, IGARCH, FIGARCH, ACGARCH and GAS models under Gaussian, GED and t-Student distributions. 21,000 intraday observations of...
Persistent link: https://www.econbiz.de/10015338449
Persistent link: https://www.econbiz.de/10014252615
One important characteristic of cryptocurrencies has been their high and erratic volatility. To represent this complicated behavior, recent studies have emphasized the use of autoregressive models frequently concluding that generalized autoregressive conditional heteroskedasticity (GARCH) models...
Persistent link: https://www.econbiz.de/10015073163