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Keywords: Volatility models
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Journal Articles
Calendar anomaly: unique evidence from the Indian stock market
Available to Purchase
Journal of Advances in Management Research (2018) 15 (1): 87–108.
Published: 05 February 2018
... Augmented Dickey-Fuller, Phillips-Perron and Kwaitkowski-Phillips-Schmidt-Shin tests are deployed to check stationarity of the series. Autocorrelation function, partial autocorrelation function and Ljung-Box statistics are employed to check the applicability of volatility models. An exponential generalized...
