The Investigation of Hong Kong and US Stock Markets Using GARCH Models
In this article, the main purpose is to model the volatility in Hong Kong and American market though GARCH (1, 1), TGARCH (1, 1), EGARCH (1, 1) and GARCH-M (1, 1) models separately. After the estimation, the within sample and out of sample test are applied to indentify the best fitting one. Differen...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2014
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| Online Access: | https://eprints.nottingham.ac.uk/26584/ |