The volatility of the stock market and financial cycle : GARCH family models

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The volatility of the stock market and financial cycle : GARCH family models

The paper examines the association between financial market volatility and actual economic incidents. We specifically analyze the statistical characteristics of the stock price series and its association with the financial cycle. Using 20 years of Vietnamese main stock VNIndex daily data from 2 Augu...

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Bibliographic Details
Main Author:	Tran, Thuy Nhung
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2022
Online Access:	http://journalarticle.ukm.my/19406/ http://journalarticle.ukm.my/19406/1/jeko_561-11.pdf

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