| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 982249 | The Quarterly Review of Economics and Finance | 2010 | 5 Pages |
Abstract
Volatility has been described as an indicator of uncertainty which has implications for investment decisions, risk management as well as monetary policy. This paper investigates the pattern of volatility in the daily trading volume index of Hong Kong stock exchange. The empirical evidence provided in this paper suggests that TGARCH specification is superior to GARCH specification. This is particularly important when one is dealing with the case of asymmetric information that captures the leverage effect of the volatile stock market.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Md. Sabiruzzaman, Md. Monimul Huq, Rabiul Alam Beg, Sajid Anwar,