Asymmetric Conditional Volatility and Firm Size: Evidence from Australian Equity Portfolios
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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|Date of creation:||1998|
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