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Keywords: EGARCH model
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Journal Articles
Volatility in Asian stock markets and global financial crisis
Available to Purchase
Journal of Advances in Management Research (2013) 10 (3): 333–351.
Published: 28 October 2013
... Heteroskedasticity (EGARCH) model. The analysis is done using time series data of daily returns for the period 2005-2011 of the major indices of these countries (Hang Seng, Nikkei 225, Shanghai Composite and Nifty for Hong Kong, Japan, China and India, respectively). These series show non-normality, thick tails...
