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GARCH Analysis of Switchers

In: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies

Author

Listed:
  • John Board

    (Henley Business School, University of Reading)

  • Alfonso Dufour

    (Henley Business School, University of Reading)

  • Yusuf Hartavi

    (Henley Business School, University of Reading)

  • Charles Sutcliffe

    (Henley Business School, University of Reading)

  • Stephen Wells

    (Henley Business School, University of Reading)

Abstract

A more complex analysis of the switchers was conducted by using high-frequency data to construct GARCH models for the dynamics of volatility. In this analysis 19% of the switchers showed a significant change in volatility with a majority of these showing lower volatility in the AIM period.

Suggested Citation

  • John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "GARCH Analysis of Switchers," Palgrave Macmillan Books, in: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, chapter 12, pages 83-86, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-137-36130-1_12
    DOI: 10.1057/9781137361301_12
    as

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