A contemporary analysis of Mexican stock market volatility
It is found that there has been an increase in the volatility of the Mexican stock market over the past decade. However, employment of a GARCH model in conjunction with Tsay's outlier methodology demonstrates that the increased volatility is associated with outliers, not the underlying processes of the market. The association of outlier shocks with specific events indicates that market shocks were generated mainly by domestic factors during the first half of the 1990s, while international factors were the primary culprits after 1995.
Year of publication: |
2003
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Authors: | Gonzalez, Jorge ; Spencer, Roger ; Walz, Daniel |
Published in: |
Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 13.2003, 10, p. 741-745
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Publisher: |
Taylor & Francis Journals |
Saved in:
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