Modeling the volatility of FTSE All Share Index Returns
AbstractWe 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 28095.
Date of creation: 27 Apr 2007
Date of revision:
volatility modeling; GARCH; EGARCH; TGARCH; AGARCH;
Find related papers by JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
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