The Investigation of Hong Kong and US Stock Markets Using GARCH Models

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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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Bibliographic Details
Main Author:	WU, WENQING
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2014
Online Access:	https://eprints.nottingham.ac.uk/26584/

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