Developing the ARCH family model to evaluate the impact of inflation on the S&P 500 return volatility

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Developing the ARCH family model to evaluate the impact of inflation on the S&P 500 return volatility

This study investigates to apply the ARCH family model to assess the impact of inflation on S&P 500 stock return volatility using daily data from 2004 to 2014 in the U.S. it is found that no evidence shows that the inflation has the predictive power for stock return volatility in the U.S. this f...

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Bibliographic Details
Main Author:	Xie, Zhao
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2014
Online Access:	https://eprints.nottingham.ac.uk/27484/

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