This paper examines the relationship betwen firm size and equity volatility for two portfolios of Australian equities. Univariate and multivariate asymmetric GARCH models are used to demonstrate that conditional volatility is related to firm size. There is strong evidence to suggest that the variance-covariance matrix of returns is time varying and asymetric.
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Length: 23 pages Date of creation: 1998 Date of revision: Handle: RePEc:mlb:wpaper:617
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Find related papers by JEL classification: G12 - Financial Economics - - General Financial Markets - - - Asset Pricing G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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