Keywords: ARCH
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Journal Articles
International Journal of Emerging Markets (2013) 8 (2): 129–143.
Published: 05 April 2013
... announcements) causes a large mispricing on the announcement day and the prices are likely to be volatile for many days thereafter. Medeiros and Matsumoto (2006) in their study presented the evidence of ARCH processes present in the regression residuals in 70 percent of the sample. Upon estimating...

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