Skip Nav Destination
Close Modal
Update search
Filter
- All
- Title
- Author
- Author Affiliations
- Full Text
- Abstract
- Keyword
- DOI
- ISBN
- EISBN
- ISSN
- EISSN
- Issue
- Volume
- References
Filter
- All
- Title
- Author
- Author Affiliations
- Full Text
- Abstract
- Keyword
- DOI
- ISBN
- EISBN
- ISSN
- EISSN
- Issue
- Volume
- References
Filter
- All
- Title
- Author
- Author Affiliations
- Full Text
- Abstract
- Keyword
- DOI
- ISBN
- EISBN
- ISSN
- EISSN
- Issue
- Volume
- References
Filter
- All
- Title
- Author
- Author Affiliations
- Full Text
- Abstract
- Keyword
- DOI
- ISBN
- EISBN
- ISSN
- EISSN
- Issue
- Volume
- References
Filter
- All
- Title
- Author
- Author Affiliations
- Full Text
- Abstract
- Keyword
- DOI
- ISBN
- EISBN
- ISSN
- EISSN
- Issue
- Volume
- References
Filter
- All
- Title
- Author
- Author Affiliations
- Full Text
- Abstract
- Keyword
- DOI
- ISBN
- EISBN
- ISSN
- EISSN
- Issue
- Volume
- References
NARROW
Format
Journal
Type
Date
Availability
1-2 of 2
Keywords: GARCH
Close
Follow your search
Access your saved searches in your account
Would you like to receive an alert when new items match your search?
Sort by
Journal Articles
The impact of investor protection on stock market volatility
Available to Purchase
Journal:
Review of Accounting and Finance
Review of Accounting and Finance (2024) 23 (1): 80–103.
Published: 13 October 2023
... and the unexpected component of stock market volatility during the COVID-19 pandemic 12 stock markets, 2010–2020 Unexpected stock volatility [GARCH (1,1), EGARCH (1,1) and GJRGARCH (1,1)] Daily Google search volume index Anti-self-dealing index Government effectiveness index Investor protection ranking Higher...
Journal Articles
The predictive power of log-likelihood of GARCH volatility
Available to Purchase
Journal:
Review of Accounting and Finance
Review of Accounting and Finance (2018) 17 (4): 482–497.
Published: 13 November 2018
... and q values in Value-at-Risk (VaR) GARCH(p, q) estimation and perform backtesting at different confidence levels, different out-of-sample periods and different data frequencies for eight financialized commodities. Findings They find that the best fitted GARCH(p,q) model tends to generate the best...
