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Modeling the volatility of FTSE All Share Index Returns

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  • Bayraci, Selcuk
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    Abstract

    We tested different GARCH models in modeling the volatility of stock returns in London Stock Exchange. The monthly returns of FTSE All Share Index during the period of February 1965 and October 2002 and GARCH, TGARCH, EGARCH, and AGARCH models have been used for the analysis.

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    File URL: http://mpra.ub.uni-muenchen.de/28095/
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    Bibliographic Info

    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 28095.

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    Date of creation: 27 Apr 2007
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    Handle: RePEc:pra:mprapa:28095

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    Related research

    Keywords: volatility modeling; GARCH; EGARCH; TGARCH; AGARCH;

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    1. repec:ebl:ecbull:v:3:y:2005:i:19:p:1-5 is not listed on IDEAS
    2. Venus Khim-Sen Liew & Terence Tai-leung Chong, 2005. "Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors," Economics Bulletin, AccessEcon, vol. 3(19), pages 1-5.
    3. Lee, Byung-Joo, 1992. "A Heteroskedasticity Test Robust to Conditional Mean Misspecification," Econometrica, Econometric Society, Econometric Society, vol. 60(1), pages 159-71, January.
    4. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 987-1007, July.
    5. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, Elsevier, vol. 52(1-2), pages 5-59.
    6. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, Elsevier, vol. 31(3), pages 307-327, April.
    7. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, Econometric Society, vol. 59(2), pages 347-70, March.
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