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2 results for volatility clustering.

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Keyword    volatility clustering

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Volatility Clustering, Leverage Effects and Risk-Return Trade-Off in the Nigerian Stock Market
by Wilson E. Herbert, Georgina O. Ugwuanyi and Ernest I. Nwaocha
Journal of Finance and Economics. 2019, 7(1), 1-13. DOI: 10.12691/jfe-7-1-1
Pub. Date: December 24, 2018Views: 11352Downloads: 10521
asymmetric volatility GARCH effect leverage effect persistent clustering volatility clustering
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A Comparative Performance of Conventional Methods for Estimating Market Risk Using Value at Risk
by Cyprian Ondieki Omari
International Journal of Econometrics and Financial Management. 2017, 5(2), 22-32. DOI: 10.12691/ijefm-5-2-1
Pub. Date: April 26, 2017Views: 17608Downloads: 15253
backtesting generalized autoregressive conditionally heteroscedastic (GARCH) models Value-at-Risk (VaR) volatility clustering Conditional and Unconditional Coverage Tests
Abstract Full Text PDF (387 KB) Full Text HTML Full Text ePUB (423 KB)
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