The Volatility of the Stock Market and Financial Cycle: GARCH Family Models
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DOI: http://dx.doi.org/10.17576/JEM-2022-5601-11
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More about this item
Keywords
EGARCH; Stock market; Vietnamese; financial cycle; volatility;All these keywords.
JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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