Essays about: "CGARCH"

Found 1 essay containing the word CGARCH.

  1. 1. Estimation of Volatilities and Spillover Effects Between Developed and Emerging Market Economies

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Iryna Kharchenko; Plamen Tzvetkov; [2013]
    Keywords : Volatility of stock returns; CGARCH; Spillover effects; Emerging markets; Business and Economics;

    Abstract : This study focuses on establishing the existence of volatility spillover effects between stock indices that represent developed and emerging markets. We employ a CGARCH(1,1) model, which distinguishes between the short-term (transitory) and long-term (permanent) conditional variance, allowing us to simultaneously examine the time trends of changes in volatility and spillover effects between developed and growing economies. READ MORE