MODELING EASTERN MEDITERRANEAN REGION'S STOCK MARKET VOLATILITY

被引：0
|
作者：
Bougioukou, Athina P.
机构：
来源：
ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH | 2010年 / 44卷 / 03期
关键词：
Asymmetry; shock persistence; volatility clustering; asymmetric behavior;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper examines the volatility of eastern Mediterranean region's stock markets. We consider, we add to the scarce literature on the above regional market volatility. To model volatility we use the exponential generalized conditional heteroscedasticity (EGARCH). Our intention is to examine the existence of two features of stock market volatility namely asymmetry and persistence of stocks. We found evidence of asymmetry and persistence of shocks.
引用
收藏
页码：185 / 192
页数：8
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