| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 486529 | Procedia Computer Science | 2013 | 6 Pages |
Abstract
The objective of this paper is to employ the GARCH (generalized autoregressive conditionally heteroskedastic) methodology to investigate the impact of interest rate on the information flow interpretation. The results show that the information flow interpretation exhibits significant difference in rising period and fluctuating period of interest rate. This difference would suggest that the components of volatility are subject to macroeconomic factor. Some tentative explanations are given.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
